Dependence Modeling with Copulas (Chapman & Hall/CRC by Harry Joe PDF

By Harry Joe

ISBN-10: 1466583223

ISBN-13: 9781466583221

Dependence Modeling with Copulas covers the large advances that experience taken position within the box over the past 15 years, together with vine copula modeling of high-dimensional information. Vine copula versions are made from a series of bivariate copulas. The booklet develops generalizations of vine copula versions, together with universal and based issue types that reach from the Gaussian assumption to copulas. It additionally discusses different multivariate buildings and parametric copula households that experience diversified tail homes and provides large fabric on dependence and tail homes to aid in copula version selection.

The writer indicates how numerical equipment and algorithms for inference and simulation are vital in high-dimensional copula purposes. He provides the algorithms as pseudocode, illustrating their implementation for high-dimensional copula versions. He additionally contains effects to figure out dependence and tail homes of multivariate distributions for destiny structures of copula models.

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Dependence Modeling with Copulas (Chapman & Hall/CRC Monographs on Statistics & Applied Probability) by Harry Joe

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