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This book presents a novel approach to time series econometrics,
which studies the behavior of nonlinear stochastic processes. This
approach allows for an arbitrary dependence structure in the
increments and provides a generalization with respect to the
standard linear independent increments assumption of classical time
series models. The book offers a solution to the problem of a
general semiparametric approach, which is given by a concept called
C-convolution (convolution of dependent variables), and the
corresponding theory of convolution-based copulas. Intended for
econometrics and statistics scholars with a special interest in
time series analysis and copula functions (or other nonparametric
approaches), the book is also useful for doctoral students with a
basic knowledge of copula functions wanting to learn about the
latest research developments in the field.
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.
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.
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