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Dependence Modeling with Copulas
Harry Joe
€ 116.19
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Description for Dependence Modeling with Copulas
Hardback. Series: Chapman & Hall/CRC Monographs on Statistics & Applied Probability. Num Pages: 480 pages, 21 black & white illustrations, 74 black & white tables. BIC Classification: PBT. Category: (G) General (US: Trade); (U) Tertiary Education (US: College). Dimension: 263 x 177 x 27. Weight in Grams: 1014.
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. ... Read more
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. ... Read more
Product Details
Publisher
Taylor & Francis Inc
Format
Hardback
Publication date
2014
Series
Chapman & Hall/CRC Monographs on Statistics & Applied Probability
Condition
New
Weight
1075g
Number of Pages
480
Place of Publication
Bosa Roca, United States
ISBN
9781466583221
SKU
V9781466583221
Shipping Time
Usually ships in 4 to 8 working days
Ref
99-1
Reviews for Dependence Modeling with Copulas
... a 'must have' for someone seriously involved in dependence modeling with copulas, especially with a focus on modeling real data. The huge collection of facts and references for certain families of copulas, dependence measures, and statistical tools makes this book a valuable reference for researchers and experienced practitioners. I expect the statistical approach to the field will be especially ... Read more