Harry Joe

Dependence Modeling with Copulas (eBook, PDF)

• Format: PDF

Produktbeschreibung

This book covers recent advances in the field, including vine copula modeling of high-dimensional data. The author develops vine copula models and generalizations, discusses other multivariate constructions and parametric copula families, and presents dependence and tail properties to assist readers in copula model selection. He also covers inference, diagnostics, model comparison, numerical methods, and algorithms for copula applications. Software and code area available on the author's website.

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Produktdetails

• Verlag: Taylor & Francis eBooks
• Seitenzahl: 480
• Erscheinungstermin: 26. Juni 2014
• Englisch
• ISBN-13: 9781466583238
• Artikelnr.: 41211965

Autorenporträt

Harry Joe

Inhaltsangabe

Introduction. Basics: Dependence
Tail Behavior
and Asymmetries. Copula Construction Methods. Parametric Copula Families and Properties. Inference
Diagnostics
and Model Selection. Computing and Algorithms. Applications and Data Examples. Theorems for Properties of Copulas. Appendix. Index.