BIRS Workshop Lecture Videos

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BIRS Workshop Lecture Videos

Pros and Cons of Skew-Symmetric Distributions and Copulas – Discussion Adcock, Chris


The use of non-normal multivariate distributions generally presents challenges, which are both theoretical and empirical. Different classes of such distributions offer different opportunities and problems. The aim of this discussion is twofold. First it is to agree a list of headings with which non- normal multivariate distributions may be characterised. Secondly it is to discuss the pros and cons of skew-symmetric distributions and copulas under these headings. An obvious example is the computation of tail probabilities, for which the differences in the two types of distributions are clear. An output from this discussion could be the re-invigoration of existing streams of research. It could include a list of potential research projects.

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