Analyzing Dependent Data with Vine Copulas : A Practical Guide With R. 1st ed. 2019

種類:

電子ブック

責任表示:

by Claudia Czado

出版情報:

Cham : Springer International Publishing : Imprint: Springer, 2019

著者名:

• Czado, Claudia.
• SpringerLink (Online service)

シリーズ名:

Lecture Notes in Statistics ; 222

ISBN:

9783030137854 [3030137856]    

注記:

Preface -- Multivariate Distributions and Copulas -- Dependence Measures -- Bivariate Copula Classes, Their Visualization and Estimation -- Pair Copula Decompositions and Constructions -- Regular Vines -- Simulating Regular Vine Copulas and Distributions -- Parameter Estimation in Regular Vine Copulas -- Selection of Regular Vine Copula Models -- Comparing Regular Vine Copula Models -- Case Study: Dependence Among German DAX Stocks -- Recent Developments in Vine Copula Based Modeling -- Indices.
This textbook provides a step-by-step introduction to the class of vine copulas, their statistical inference and applications. It focuses on statistical estimation and selection methods for vine copulas in data applications. These flexible copula models can successfully accommodate any form of tail dependence and are vital to many applications in finance, insurance, hydrology, marketing, engineering, chemistry, aviation, climatology and health. The book explains the pair-copula construction principles underlying these statistical models and discusses how to perform model selection and inference. It also derives simulation algorithms and presents real-world examples to illustrate the methodological concepts. The book includes numerous exercises that facilitate and deepen readers’ understanding, and demonstrates how the R package VineCopula can be used to explore and build statistical dependence models from scratch. In closing, the book provides insights into recent developments and open research questions in v

ローカル注記:

学内専用E-BOOKS (local access only)