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Chapman and Hall/CRC Dependence Modeling with Copulas (Chapman & Hall/CRC Monographs on Statistics and Applied Probability)

Name: Dependence Modeling with Copulas (Chapman & Hall/CRC Monographs on Statistics and Applied Probability)
Brand: Chapman and Hall/CRC

Econometrics

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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.

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Dependence Modeling With Copulas Chapman Hall Crc Monographs On Statistics And Applied Probability

Product Type: Abis Book

Brand: Language: English

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Brand: Chapman and Hall/CRC
Format: paperback
ASIN: 1032477377
Category: Books > Subjects > Business, Finance & Law > Economics > Econometrics
Domain: Amazon UK
Release Date: 21 January 2023
Listed Since: 01 December 2022

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Chapman and Hall/CRC Dependence Modeling with Copulas (Chapman & Hall/CRC Monographs on Statistics and Applied Probability)

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