Dependence Modeling

Dependence Modeling
Author :
Publisher : World Scientific
Total Pages : 370
Release :
ISBN-10 : 9789814299886
ISBN-13 : 981429988X
Rating : 4/5 (88X Downloads)

Book Synopsis Dependence Modeling by : Harry Joe

Download or read book Dependence Modeling written by Harry Joe and published by World Scientific. This book was released on 2011 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt: 1. Introduction : Dependence modeling / D. Kurowicka -- 2. Multivariate copulae / M. Fischer -- 3. Vines arise / R.M. Cooke, H. Joe and K. Aas -- 4. Sampling count variables with specified Pearson correlation : A comparison between a naive and a C-vine sampling approach / V. Erhardt and C. Czado -- 5. Micro correlations and tail dependence / R.M. Cooke, C. Kousky and H. Joe -- 6. The Copula information criterion and Its implications for the maximum pseudo-likelihood estimator / S. Gronneberg -- 7. Dependence comparisons of vine copulae with four or more variables / H. Joe -- 8. Tail dependence in vine copulae / H. Joe -- 9. Counting vines / O. Morales-Napoles -- 10. Regular vines : Generation algorithm and number of equivalence classes / H. Joe, R.M. Cooke and D. Kurowicka -- 11. Optimal truncation of vines / D. Kurowicka -- 12. Bayesian inference for D-vines : Estimation and model selection / C. Czado and A. Min -- 13. Analysis of Australian electricity loads using joint Bayesian inference of D-vines with autoregressive margins / C. Czado, F. Gartner and A. Min -- 14. Non-parametric Bayesian belief nets versus vines / A. Hanea -- 15. Modeling dependence between financial returns using pair-copula constructions / K. Aas and D. Berg -- 16. Dynamic D-vine model / A. Heinen and A. Valdesogo -- 17. Summary and future directions / D. Kurowicka


Dependence Modeling Related Books

Dependence Modeling
Language: en
Pages: 370
Authors: Harry Joe
Categories: Business & Economics
Type: BOOK - Published: 2011 - Publisher: World Scientific

DOWNLOAD EBOOK

1. Introduction : Dependence modeling / D. Kurowicka -- 2. Multivariate copulae / M. Fischer -- 3. Vines arise / R.M. Cooke, H. Joe and K. Aas -- 4. Sampling co
Dependence Modeling with Copulas
Language: en
Pages: 483
Authors: Harry Joe
Categories: Mathematics
Type: BOOK - Published: 2014-06-26 - Publisher: CRC Press

DOWNLOAD EBOOK

Dependence Modeling with Copulas covers the substantial advances that have taken place in the field during the last 15 years, including vine copula modeling of
Dependence Modeling with Copulas
Language: en
Pages: 479
Authors: Harry Joe
Categories: Mathematics
Type: BOOK - Published: 2014-06-26 - Publisher: CRC Press

DOWNLOAD EBOOK

Dependence Modeling with Copulas covers the substantial advances that have taken place in the field during the last 15 years, including vine copula modeling of
Uncertainty Analysis with High Dimensional Dependence Modelling
Language: en
Pages: 302
Authors: Dorota Kurowicka
Categories: Mathematics
Type: BOOK - Published: 2006-10-02 - Publisher: John Wiley & Sons

DOWNLOAD EBOOK

Mathematical models are used to simulate complex real-world phenomena in many areas of science and technology. Large complex models typically require inputs who
Copulas and Dependence Models with Applications
Language: en
Pages: 268
Authors: Manuel Úbeda Flores
Categories: Mathematics
Type: BOOK - Published: 2017-10-13 - Publisher: Springer

DOWNLOAD EBOOK

This book presents contributions and review articles on the theory of copulas and their applications. The authoritative and refereed contributions review the la