Dependence Modeling with Copulas

Dependence Modeling with Copulas
Author :
Publisher : CRC Press
Total Pages : 483
Release :
ISBN-10 : 9781466583221
ISBN-13 : 1466583223
Rating : 4/5 (223 Downloads)

Book Synopsis Dependence Modeling with Copulas by : Harry Joe

Download or read book Dependence Modeling with Copulas written by Harry Joe and published by CRC Press. This book was released on 2014-06-26 with total page 483 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 high-dimensional data. Vine copula models are constructed from a sequence of bivariate copulas. The book develops generalizations of vine copula models, including common and structured factor models that extend from the Gaussian assumption to copulas. It also discusses other multivariate constructions and parametric copula families that have different tail properties and presents extensive material on dependence and tail properties to assist in copula model selection. The author shows how numerical methods and algorithms for inference and simulation are important in high-dimensional copula applications. He presents the algorithms as pseudocode, illustrating their implementation for high-dimensional copula models. He also incorporates results to determine dependence and tail properties of multivariate distributions for future constructions of copula models.


Dependence Modeling with Copulas Related Books

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
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
Analyzing Dependent Data with Vine Copulas
Language: en
Pages:
Authors: Claudia Czado
Categories: Copulas (Mathematical statistics)
Type: BOOK - Published: 2019 - Publisher:

DOWNLOAD EBOOK

This textbook provides a step-by-step introduction to the class of vine copulas, their statistical inference and applications. It focuses on statistical estimat
Multivariate Models and Multivariate Dependence Concepts
Language: en
Pages: 422
Authors: Harry Joe
Categories: Mathematics
Type: BOOK - Published: 1997-05-01 - Publisher: CRC Press

DOWNLOAD EBOOK

This book on multivariate models, statistical inference, and data analysis contains deep coverage of multivariate non-normal distributions for modeling of binar
Elements of Copula Modeling with R
Language: en
Pages: 274
Authors: Marius Hofert
Categories: Business & Economics
Type: BOOK - Published: 2019-01-09 - Publisher: Springer

DOWNLOAD EBOOK

This book introduces the main theoretical findings related to copulas and shows how statistical modeling of multivariate continuous distributions using copulas