Normal view MARC view ISBD view

Dependence modeling with copulas

By: Joe, Harry.
Series: Chapman & Hall/CRC Monographs on Statistics & Applied Probability. Publisher: Boca Raton CRC Press 2015Description: xviii, 462 p.ISBN: 9781466583221.Subject(s): Copulas (Mathematical statistics) | Dependence (Statistics) | ProbabilitiesDDC classification: 519.535 Summary: 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. (https://www.crcpress.com/Dependence-Modeling-with-Copulas/Joe/p/book/9781466583221)
List(s) this item appears in: Laha
Tags from this library: No tags from this library for this title. Log in to add tags.
    average rating: 0.0 (0 votes)
Item type Current location Item location Collection Call number Status Date due Barcode
Books Vikram Sarabhai Library
Slot 1424 (0 Floor, East Wing) Non-fiction 519.535 J6D3 (Browse shelf) Available 192283

Table of Contents:

1. Introduction
2. Basics: Dependence, Tail Behavior, and Asymmetries
3. Copula Construction Methods
4. Parametric Copula Families and Properties
5. Inference, Diagnostics, and Model Selection
6. Computing and Algorithms
7. Applications and Data Examples
8. Theorems for Properties of Copulas

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.

(https://www.crcpress.com/Dependence-Modeling-with-Copulas/Joe/p/book/9781466583221)

There are no comments for this item.

Log in to your account to post a comment.

Powered by Koha