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.
General
Imprint: |
Crc Press
|
Country of origin: |
United States |
Series: |
Chapman & Hall/CRC Monographs on Statistics and Applied Probability |
Release date: |
June 2014 |
First published: |
2014 |
Authors: |
Harry Joe
|
Dimensions: |
254 x 178 x 27mm (L x W x T) |
Format: |
Hardcover
|
Pages: |
480 |
ISBN-13: |
978-1-4665-8322-1 |
Categories: |
Books >
Science & Mathematics >
Mathematics >
Probability & statistics
|
LSN: |
1-4665-8322-3 |
Barcode: |
9781466583221 |
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