Claudia Czado is a mathematical statistician at the

Technical University of Munich The Technical University of Munich (TUM or TU Munich; german: Technische Universität München) is a public research university in Munich, Germany. It specializes in engineering, technology, medicine, and applied and natural sciences. Establis ...

, known for her research on copulas,

vines A vine (Latin ''vīnea'' "grapevine", "vineyard", from ''vīnum'' "wine") is any plant with a growth habit of trailing or scandent (that is, climbing) stems, lianas or runners. The word ''vine'' can also refer to such stems or runners themselv ...

, and their applications in statistical finance.

Early life and education

Czado grew up in a family with five children in

Borken, Hesse Borken () is a small town with about 13,000 inhabitants in the Schwalm-Eder district in northern Hesse, Germany. The town is a former centre for brown coal mining and coal-fired electrical generation in Hesse. The coalmine, unlike those in othe ...

, a small town in central Germany. She earned a diploma in 1984 from the

University of Göttingen The University of Göttingen, officially the Georg August University of Göttingen, (german: Georg-August-Universität Göttingen, known informally as Georgia Augusta) is a public research university in the city of Göttingen, Germany. Founded ...

, specializing in probability and statistics. Inspired by a high school fascination with Native American culture, Czado enrolled in an master's-level exchange program between University of Göttingen and

Cornell University Cornell University is a private statutory land-grant research university based in Ithaca, New York. It is a member of the Ivy League. Founded in 1865 by Ezra Cornell and Andrew Dickson White, Cornell was founded with the intention to tea ...

. At Cornell, she worked with Murad Taqqu in their department of operations research and industrial engineering. Returning to Göttingen, she completed her master's degree in 1987, with a thesis on the

law of the iterated logarithm In probability theory, the law of the iterated logarithm describes the magnitude of the fluctuations of a random walk. The original statement of the law of the iterated logarithm is due to A. Ya. Khinchin (1924). Another statement was given by A ...

for

self-similar process Self-similar processes are types of stochastic processes that exhibit the phenomenon of self-similarity. A self-similar phenomenon behaves the same when viewed at different degrees of magnification, or different scales on a dimension (space or time ...

es. Czado continued to work with Taqqu, and joined the doctoral program in operations research and industrial engineering at Cornell. However, while she was there, Taqqu moved to

Boston University Boston University (BU) is a Private university, private research university in Boston, Massachusetts. The university is nonsectarian, but has a historical affiliation with the United Methodist Church. It was founded in 1839 by Methodists with ...

. Frustrated with her progress on the law of the iterated logarithm, Czado took advantage of the opportunity to change topics under another advisor. Instead of moving with Taqqu, she remained at Cornell and began working on

binary regression In statistics, specifically regression analysis, a binary regression estimates a relationship between one or more explanatory variables and a single output binary variable. Generally the probability of the two alternatives is modeled, instead of s ...

using computer simulations. She completed her doctorate at Cornell in 1989. Her dissertation, ''Link Misspecification and Data Selected Transformations in Binary Regression Models'', was supervised by Thomas J. Santner.

Career

After postdoctoral research at

McGill University McGill University (french: link=no, Université McGill) is an English-language public research university located in Montreal, Quebec Montreal ( ; officially Montréal, ) is the second-most populous city in Canada and most populous ...

, Czado became a faculty member in the department of mathematics and statistics at

York University York University (french: Université York), also known as YorkU or simply YU, is a public university, public research university in Toronto, Ontario, Canada. It is Canada's fourth-largest university, and it has approximately 55,700 students, 7,0 ...

, Canada, in 1989. In part, she chose Canada over returning to Germany because the German habilitation system would have required more years of effort before she could obtain a permanent position. After receiving tenure at York in 1994, she went on sabbatical to Germany and began searching for a faculty position in statistics in Germany. In 1998 she took her present position at the Technical University of Munich.

Books

Czado is the author of the textbooks ''Mathematische Statistik'' (with Thorsten Schmidt, Springer, 2011) and ''Analyzing Dependent Data with Vine Copulas: A Practical Guide With R'' (Springer, 2019).

References

External links

Home page
* {{DEFAULTSORT:Czado, Claudia Year of birth missing (living people) Living people German statisticians Women statisticians University of Göttingen alumni Cornell University alumni Academic staff of York University Academic staff of the Technical University of Munich Mathematical statisticians People from Borken (district)