|
Showing 1 - 6 of
6 matches in All Departments
This book presents the latest advances in the theory and practice
of Marshall-Olkin distributions. These distributions have been
increasingly applied in statistical practice in recent years, as
they make it possible to describe interesting features of
stochastic models like non-exchangeability, tail dependencies and
the presence of a singular component. The book presents
cutting-edge contributions in this research area, with a particular
emphasis on financial and economic applications. It is recommended
for researchers working in applied probability and statistics, as
well as for practitioners interested in the use of stochastic
models in economics. This volume collects selected contributions
from the conference "Marshall-Olkin Distributions: Advances in
Theory and Applications," held in Bologna on October 2-3, 2013.
Principles of Copula Theory explores the state of the art on
copulas and provides you with the foundation to use copulas in a
variety of applications. Throughout the book, historical remarks
and further readings highlight active research in the field,
including new results, streamlined presentations, and new proofs of
old results. After covering the essentials of copula theory, the
book addresses the issue of modeling dependence among components of
a random vector using copulas. It then presents copulas from the
point of view of measure theory, compares methods for the
approximation of copulas, and discusses the Markov product for
2-copulas. The authors also examine selected families of copulas
that possess appealing features from both theoretical and applied
viewpoints. The book concludes with in-depth discussions on two
generalizations of copulas: quasi- and semi-copulas. Although
copulas are not the solution to all stochastic problems, they are
an indispensable tool for understanding several problems about
stochastic dependence. This book gives you the solid and formal
mathematical background to apply copulas to a range of mathematical
areas, such as probability, real analysis, measure theory, and
algebraic structures.
This book presents contributions and review articles on the theory
of copulas and their applications. The authoritative and refereed
contributions review the latest findings in the area with emphasis
on "classical" topics like distributions with fixed marginals,
measures of association, construction of copulas with given
additional information, etc. The book celebrates the 75th birthday
of Professor Roger B. Nelsen and his outstanding contribution to
the development of copula theory. Most of the book's contributions
were presented at the conference "Copulas and Their Applications"
held in his honor in Almeria, Spain, July 3-5, 2017. The chapter
'When Gumbel met Galambos' is published open access under a CC BY
4.0 license.
Principles of Copula Theory explores the state of the art on
copulas and provides you with the foundation to use copulas in a
variety of applications. Throughout the book, historical remarks
and further readings highlight active research in the field,
including new results, streamlined presentations, and new proofs of
old results. After covering the essentials of copula theory, the
book addresses the issue of modeling dependence among components of
a random vector using copulas. It then presents copulas from the
point of view of measure theory, compares methods for the
approximation of copulas, and discusses the Markov product for
2-copulas. The authors also examine selected families of copulas
that possess appealing features from both theoretical and applied
viewpoints. The book concludes with in-depth discussions on two
generalizations of copulas: quasi- and semi-copulas. Although
copulas are not the solution to all stochastic problems, they are
an indispensable tool for understanding several problems about
stochastic dependence. This book gives you the solid and formal
mathematical background to apply copulas to a range of mathematical
areas, such as probability, real analysis, measure theory, and
algebraic structures.
This book presents the latest advances in the theory and practice
of Marshall-Olkin distributions. These distributions have been
increasingly applied in statistical practice in recent years, as
they make it possible to describe interesting features of
stochastic models like non-exchangeability, tail dependencies and
the presence of a singular component. The book presents
cutting-edge contributions in this research area, with a particular
emphasis on financial and economic applications. It is recommended
for researchers working in applied probability and statistics, as
well as for practitioners interested in the use of stochastic
models in economics. This volume collects selected contributions
from the conference “Marshall-Olkin Distributions: Advances in
Theory and Applications,” held in Bologna on October 2-3, 2013.
Copulas are mathematical objects that fully capture the dependence
structure among random variables and hence offer great flexibility
in building multivariate stochastic models. Since their
introduction in the early 50's, copulas have gained considerable
popularity in several fields of applied mathematics, such as
finance, insurance and reliability theory. Today, they represent a
well-recognized tool for market and credit models, aggregation of
risks, portfolio selection, etc. This book is divided into two main
parts: Part I - "Surveys" contains 11 chapters that provide an
up-to-date account of essential aspects of copula models. Part II -
"Contributions" collects the extended versions of 6 talks selected
from papers presented at the workshop in Warsaw.
|
|