Copula Based Markov Models For Time Series
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Copula Based Markov Models For Time Series
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Author : Li-Hsien Sun
language : en
Publisher: Springer Nature
Release Date : 2020-07-01
Copula Based Markov Models For Time Series written by Li-Hsien Sun and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-07-01 with Business & Economics categories.
This book provides statistical methodologies for time series data, focusing on copula-based Markov chain models for serially correlated time series. It also includes data examples from economics, engineering, finance, sport and other disciplines to illustrate the methods presented. An accessible textbook for students in the fields of economics, management, mathematics, statistics, and related fields wanting to gain insights into the statistical analysis of time series data using copulas, the book also features stand-alone chapters to appeal to researchers. As the subtitle suggests, the book highlights parametric models based on normal distribution, t-distribution, normal mixture distribution, Poisson distribution, and others. Presenting likelihood-based methods as the main statistical tools for fitting the models, the book details the development of computing techniques to find the maximum likelihood estimator. It also addresses statistical process control, as well as Bayesian and regression methods. Lastly, to help readers analyze their data, it provides computer codes (R codes) for most of the statistical methods.
Copulas And Their Applications In Water Resources Engineering
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Author : Lan Zhang
language : en
Publisher: Cambridge University Press
Release Date : 2019-01-10
Copulas And Their Applications In Water Resources Engineering written by Lan Zhang and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-01-10 with Mathematics categories.
Illustration of copula theory with detailed real-world case study examples in the fields of hydrology and water resources engineering.
Dynamic Copula Methods In Finance
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Author : Umberto Cherubini
language : en
Publisher: John Wiley & Sons
Release Date : 2011-10-20
Dynamic Copula Methods In Finance written by Umberto Cherubini and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-10-20 with Business & Economics categories.
The latest tools and techniques for pricing and risk management This book introduces readers to the use of copula functions to represent the dynamics of financial assets and risk factors, integrated temporal and cross-section applications. The first part of the book will briefly introduce the standard the theory of copula functions, before examining the link between copulas and Markov processes. It will then introduce new techniques to design Markov processes that are suited to represent the dynamics of market risk factors and their co-movement, providing techniques to both estimate and simulate such dynamics. The second part of the book will show readers how to apply these methods to the evaluation of pricing of multivariate derivative contracts in the equity and credit markets. It will then move on to explore the applications of joint temporal and cross-section aggregation to the problem of risk integration.
Advances In Economics And Econometrics
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Author : Econometric Society. World Congress
language : en
Publisher: Cambridge University Press
Release Date : 2013-05-27
Advances In Economics And Econometrics written by Econometric Society. World Congress and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-27 with Business & Economics categories.
The third volume of edited papers from the Tenth World Congress of the Econometric Society 2010.
Advances In Economics And Econometrics Volume 3 Econometrics
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Author : Daron Acemoglu
language : en
Publisher: Cambridge University Press
Release Date : 2013-05-13
Advances In Economics And Econometrics Volume 3 Econometrics written by Daron Acemoglu and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-13 with Business & Economics categories.
This is the third of three volumes containing edited versions of papers and commentaries presented at invited symposium sessions of the Tenth World Congress of the Econometric Society, held in Shanghai in August 2010. The papers summarize and interpret key developments in economics and econometrics, and they discuss future directions for a wide variety of topics, covering both theory and application. Written by the leading specialists in their fields, these volumes provide a unique, accessible survey of progress on the discipline. The first volume primarily addresses economic theory, with specific focuses on nonstandard markets, contracts, decision theory, communication and organizations, epistemics and calibration, and patents.
Theory And Applications Of Time Series Analysis
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Author : Olga Valenzuela
language : en
Publisher: Springer Nature
Release Date : 2023-11-09
Theory And Applications Of Time Series Analysis written by Olga Valenzuela and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-11-09 with Mathematics categories.
This book presents the latest developments in the theory and applications of time series analysis and forecasting. Comprising a selection of refereed papers, it is divided into several parts that address modern theoretical aspects of time series analysis, forecasting and prediction, with applications to various disciplines, including econometrics and energy research. The broad range of topics discussed, including matters of particular relevance for sustainable development, will give readers a modern perspective on the subject. The included contributions were originally presented at the 8th International Conference on Time Series and Forecasting, ITISE 2022, held in Gran Canaria, Spain, June 27-30, 2022. The ITISE conference series provides a forum for scientists, engineers, educators and students to discuss the latest advances and implementations in the foundations, theory, models and applications of time series analysis and forecasting. It focuses on interdisciplinary research encompassing computer science, mathematics, statistics and econometrics.
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.
Convolution Copula Econometrics
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Author : Umberto Cherubini
language : en
Publisher: Springer
Release Date : 2016-12-01
Convolution Copula Econometrics written by Umberto Cherubini and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-12-01 with Business & Economics categories.
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.
Design Of Coastal Structures And Sea Defenses
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Author : Young C Kim
language : en
Publisher: World Scientific
Release Date : 2014-09-25
Design Of Coastal Structures And Sea Defenses written by Young C Kim and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-09-25 with Technology & Engineering categories.
Coastal structures are an important component in any coastal protection scheme. They directly control wave and storm surge action or to stabilize a beach which provides protection to the coast.This book provides the most up-to-date technical advances on the design and construction of coastal structures and sea defenses.Written by renowned practicing coastal engineers, this edited volume focuses on the latest technology applied in planning, design and construction, effective engineering methodology, unique projects and problems, design and construction challenges, and other lessons learned.Many books have been written about the theoretical treatment of coastal and ocean structures. Much less has been written about the practical practice aspect of ocean structures and sea defenses. This comprehensive book fills the gap. It is an essential source of reference for professionals and researchers in the areas of coastal, ocean, civil, and geotechnical engineering.
Proceedings Of The Pacific Rim Statistical Conference For Production Engineering
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Author : Dongseok Choi
language : en
Publisher: Springer
Release Date : 2018-03-27
Proceedings Of The Pacific Rim Statistical Conference For Production Engineering written by Dongseok Choi and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-03-27 with Mathematics categories.
This book presents the proceedings of the 2nd Pacific Rim Statistical Conference for Production Engineering: Production Engineering, Big Data and Statistics, which took place at Seoul National University in Seoul, Korea in December, 2016. The papers included discuss a wide range of statistical challenges, methods and applications for big data in production engineering, and introduce recent advances in relevant statistical methods.