Contributions To Static And Time Varying Copula Based Modeling Of Multivariate Association
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Contributions To Static And Time Varying Copula Based Modeling Of Multivariate Association
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Author : Martin Ruppert
language : en
Publisher: BoD – Books on Demand
Release Date : 2012
Contributions To Static And Time Varying Copula Based Modeling Of Multivariate Association written by Martin Ruppert and has been published by BoD – Books on Demand this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Business & Economics categories.
Putting a particular emphasis on nonparametric methods that rely on modern empirical process techniques, the author contributes to the theory of static and time-varying stochastic models for multivariate association based on the concept of copulas. These functions enable a profound understanding of multivariate association, which is pivotal for judging whether a large set of risky assets entails diversification effects or aggravates risk from an entrepreneurial point of view. Since serial dependence is a stylized fact of financial time series, an asymptotic theory for estimating the structure of association in this context is developed under weak assumptions. A new measure of multivariate association, based on a notion of distance to stochastic independence, is introduced. Asymptotic results as well as hypothesis tests are established which are directly applicable to important types of multivariate financial time series. To ensure that risk management properly captures the current structure of association, it is crucial to assess the constancy of the structure. Therefore, nonparametric tests for a constant copula with either a specified or unspecified change point (candidate) are derived. The thesis concludes with a study of characterizations of association between non-continuous random variables.
On Copula Density Estimation And Measures Of Multivariate Association
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Author : Thomas Blumentritt
language : en
Publisher: BoD – Books on Demand
Release Date : 2012
On Copula Density Estimation And Measures Of Multivariate Association written by Thomas Blumentritt and has been published by BoD – Books on Demand this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Business & Economics categories.
Measuring the degree of association between random variables is a task inherent in many practical applications such as risk management and financial modeling. Well-known measures like Spearman's rho and Kendall's tau can be expressed in terms of the underlying copula only, hence, being independent of the underlying univariate marginal distributions. Opposed to these classical measures of association, mutual information, which is derived from information theory, constitutes a fundamentally different approach of measuring association. Although this measure is likewise independent of the univariate margins, it is not a functional of the copula but of the corresponding copula density. Besides the theoretical properties of mutual information as a measure of multivariate association, possibilities to estimate the copula density based on observations of continuous distributions are investigated. To cope with the effect of boundary bias, new estimators are introduced and existing functionals are generalized to the multivariate case. The performance of these estimators is evaluated in comparison to common kernel density estimation schemes. To facilitate variance estimation by means of resampling methods like bootstrapping, an algorithm is introduced, which significantly reduces computation time in comparison with pre-implemented algorithms. In practical applications, complete continuous data is oftentimes not available to the analyst. Instead, categorial data derived from the underlying continuous distribution may be given. Hence, estimation of the copula and its density based on contingency tables is investigated. The newly developed estimators are employed to derive estimates of Spearman's rho and Kendall's tau and their performance is compared.
Structural Changes And Their Econometric Modeling
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Author : Vladik Kreinovich
language : en
Publisher: Springer
Release Date : 2018-11-24
Structural Changes And Their Econometric Modeling written by Vladik Kreinovich and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-11-24 with Computers categories.
This book focuses on structural changes and economic modeling. It presents papers describing how to model structural changes, as well as those introducing improvements to the existing before-structural-changes models, making it easier to later on combine these models with techniques describing structural changes. The book also includes related theoretical developments and practical applications of the resulting techniques to economic problems. Most traditional mathematical models of economic processes describe how the corresponding quantities change with time. However, in addition to such relatively smooth numerical changes, economical phenomena often undergo more drastic structural change. Describing such structural changes is not easy, but it is vital if we want to have a more adequate description of economic phenomena – and thus, more accurate and more reliable predictions and a better understanding on how best to influence the economic situation.
High Dimensionality In Statistics And Portfolio Optimization
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Author : Konstantin Glombek
language : en
Publisher: BoD – Books on Demand
Release Date : 2012
High Dimensionality In Statistics And Portfolio Optimization written by Konstantin Glombek and has been published by BoD – Books on Demand this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
Modellierung Und Prognose Der Zinsstruktur Auf Der Basis Dynamischer Modelle Der Nelson Siegel Klasse
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Author : Miriam Weber
language : de
Publisher: BoD – Books on Demand
Release Date : 2012
Modellierung Und Prognose Der Zinsstruktur Auf Der Basis Dynamischer Modelle Der Nelson Siegel Klasse written by Miriam Weber and has been published by BoD – Books on Demand this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
Elements Of Copula Modeling With R
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Author : Marius Hofert
language : en
Publisher: Springer
Release Date : 2019-01-18
Elements Of Copula Modeling With R written by Marius Hofert and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-01-18 with Business & Economics categories.
This book introduces the main theoretical findings related to copulas and shows how statistical modeling of multivariate continuous distributions using copulas can be carried out in the R statistical environment with the package copula (among others). Copulas are multivariate distribution functions with standard uniform univariate margins. They are increasingly applied to modeling dependence among random variables in fields such as risk management, actuarial science, insurance, finance, engineering, hydrology, climatology, and meteorology, to name a few. In the spirit of the Use R! series, each chapter combines key theoretical definitions or results with illustrations in R. Aimed at statisticians, actuaries, risk managers, engineers and environmental scientists wanting to learn about the theory and practice of copula modeling using R without an overwhelming amount of mathematics, the book can also be used for teaching a course on copula modeling.
Cumulated Index Medicus
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Author :
language : en
Publisher:
Release Date : 1996
Cumulated Index Medicus written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Medicine categories.
Dependence Modeling
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Author : Dorota Kurowicka
language : en
Publisher: World Scientific Publishing Company Incorporated
Release Date : 2011
Dependence Modeling written by Dorota Kurowicka and has been published by World Scientific Publishing Company Incorporated this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Business & Economics categories.
This book is a collaborative effort from three workshops held over the last three years, all involving principal contributors to the vine-copula methodology. Research and applications in vines have been growing rapidly and there is now a growing need to collate basic results, and standardize terminology and methods. Specifically, this handbook will (1) trace historical developments, standardizing notation and terminology, (2) summarize results on bivariate copulae, (3) summarize results for regular vines, and (4) give an overview of its applications. In addition, many of these results are new and not readily available in any existing journals. New research directions are also discussed.
Multivariate Models And Multivariate Dependence Concepts
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Author : Harry Joe
language : en
Publisher: CRC Press
Release Date : 1997-05-01
Multivariate Models And Multivariate Dependence Concepts written by Harry Joe and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997-05-01 with Mathematics categories.
This book on multivariate models, statistical inference, and data analysis contains deep coverage of multivariate non-normal distributions for modeling of binary, count, ordinal, and extreme value response data. It is virtually self-contained, and includes many exercises and unsolved problems.
Handbook Of Financial Time Series
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Author : Torben Gustav Andersen
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-04-21
Handbook Of Financial Time Series written by Torben Gustav Andersen and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-04-21 with Business & Economics categories.
The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.