Copulas
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An Introduction To Copulas
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Author : Roger B. Nelsen
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
An Introduction To Copulas written by Roger B. Nelsen 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 2013-03-09 with Mathematics categories.
Copulas are functions that join multivariate distribution functions to their one-dimensional margins. The study of copulas and their role in statistics is a new but vigorously growing field. In this book the student or practitioner of statistics and probability will find discussions of the fundamental properties of copulas and some of their primary applications. The applications include the study of dependence and measures of association, and the construction of families of bivariate distributions. With nearly a hundred examples and over 150 exercises, this book is suitable as a text or for self-study. The only prerequisite is an upper level undergraduate course in probability and mathematical statistics, although some familiarity with nonparametric statistics would be useful. Knowledge of measure-theoretic probability is not required. Roger B. Nelsen is Professor of Mathematics at Lewis & Clark College in Portland, Oregon. He is also the author of "Proofs Without Words: Exercises in Visual Thinking," published by the Mathematical Association of America.
Simulating Copulas Stochastic Models Sampling Algorithms And Applications
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Author : Matthias Scherer
language : en
Publisher: World Scientific
Release Date : 2012-06-26
Simulating Copulas Stochastic Models Sampling Algorithms And Applications written by Matthias Scherer and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-06-26 with Mathematics categories.
This book provides the reader with a background on simulating copulas and multivariate distributions in general. It unifies the scattered literature on the simulation of various families of copulas (elliptical, Archimedean, Marshall-Olkin type, etc.) as well as on different construction principles (factor models, pair-copula construction, etc.). The book is self-contained and unified in presentation and can be used as a textbook for advanced undergraduate or graduate students with a firm background in stochastics. Alongside the theoretical foundation, ready-to-implement algorithms and many examples make this book a valuable tool for anyone who is applying the methodology.
Copulas
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Author : Jörn Rank
language : en
Publisher: Bloomberg Press
Release Date : 2007
Copulas written by Jörn Rank and has been published by Bloomberg Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Business & Economics categories.
The use of copulas becoming increasingly important in finance. This book provides a varied perspective of their usage within the field of financial risk management and derivative pricing. It involves a detailed analysis of the field of financial risk management and derivative pricing, and delves into the theoretical aspects.
Copulas
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Author : Regina Pustet
language : en
Publisher: OUP Oxford
Release Date : 2003-06-12
Copulas written by Regina Pustet and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-06-12 with Language Arts & Disciplines categories.
Copulas (in English, the verb to be) are conventionally defined functionally as a means of relating elements of clause structure, especially subject and complement, and considered to be semantically empty or meaningless.They have received relatively little attention from linguists. Dr Pustet in this extensive cross-linguistic study goes some way towards correcting this neglect. In doing so she takes issue with both accepted definition and description. She presents an analysis of grammatical descriptions of over 160 languages drawn from the language families of the world. She shows that some languages have a single copula, others several, and some none at all. In a series of statistical analyses she seeks to explain why by linking the distribution of copulas to variations in lexical categorization and syntactic structure. She concludes by advancing a comprehensive theory of copularization which she relates to language classification and to theories of language change, notably grammaticalization.
Copula Modeling
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Author : Pravin K. Trivedi
language : en
Publisher: Now Publishers Inc
Release Date : 2007
Copula Modeling written by Pravin K. Trivedi and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Business & Economics categories.
Copula Modeling explores the copula approach for econometrics modeling of joint parametric distributions. Copula Modeling demonstrates that practical implementation and estimation is relatively straightforward despite the complexity of its theoretical foundations. An attractive feature of parametrically specific copulas is that estimation and inference are based on standard maximum likelihood procedures. Thus, copulas can be estimated using desktop econometric software. This offers a substantial advantage of copulas over recently proposed simulation-based approaches to joint modeling. Copulas are useful in a variety of modeling situations including financial markets, actuarial science, and microeconometrics modeling. Copula Modeling provides practitioners and scholars with a useful guide to copula modeling with a focus on estimation and misspecification. The authors cover important theoretical foundations. Throughout, the authors use Monte Carlo experiments and simulations to demonstrate copula properties
An Introduction To Copulas
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Author : Roger B. Nelsen
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-06-10
An Introduction To Copulas written by Roger B. Nelsen 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 2007-06-10 with Mathematics categories.
The study of copulas and their role in statistics is a new but vigorously growing field. In this book the student or practitioner of statistics and probability will find discussions of the fundamental properties of copulas and some of their primary applications. The applications include the study of dependence and measures of association, and the construction of families of bivariate distributions. This book is suitable as a text or for self-study.
Copulas And Dependence Models With Applications
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Author : Manuel Úbeda Flores
language : en
Publisher: Springer
Release Date : 2017-10-13
Copulas And Dependence Models With Applications written by Manuel Úbeda Flores and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-10-13 with Mathematics categories.
This book presents contributions and review articles on the theory of copulas and their applications. The authoritative and refereed contributions review the latest findings in the area with emphasis on “classical” topics like distributions with fixed marginals, measures of association, construction of copulas with given additional information, etc. The book celebrates the 75th birthday of Professor Roger B. Nelsen and his outstanding contribution to the development of copula theory. Most of the book’s contributions were presented at the conference “Copulas and Their Applications” held in his honor in Almería, Spain, July 3-5, 2017. The chapter 'When Gumbel met Galambos' is published open access under a CC BY 4.0 license.
Simulating Copulas Stochastic Models Sampling Algorithms And Applications Second Edition
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Author : Scherer Matthias
language : en
Publisher: #N/A
Release Date : 2017-06-07
Simulating Copulas Stochastic Models Sampling Algorithms And Applications Second Edition written by Scherer Matthias and has been published by #N/A this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-06-07 with Mathematics categories.
The book provides the background on simulating copulas and multivariate distributions in general. It unifies the scattered literature on the simulation of various families of copulas (elliptical, Archimedean, Marshall-Olkin type, etc.) as well as on different construction principles (factor models, pair-copula construction, etc.). The book is self-contained and unified in presentation and can be used as a textbook for graduate and advanced undergraduate students with a firm background in stochastics. Besides the theoretical foundation, ready-to-implement algorithms and many examples make the book a valuable tool for anyone who is applying the methodology.
Dependence Modeling With Copulas
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Author : Harry Joe
language : en
Publisher: CRC Press
Release Date : 2014-06-26
Dependence Modeling With Copulas 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 2014-06-26 with Mathematics categories.
Dependence Modeling with Copulas covers the substantial advances that have taken place in the field during the last 15 years, including vine copula modeling of high-dimensional data. Vine copula models are constructed from a sequence of bivariate copulas. The book develops generalizations of vine copula models, including common and structured facto
Copula Theory And Its Applications
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Author : Piotr Jaworski
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-07-16
Copula Theory And Its Applications written by Piotr Jaworski 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 2010-07-16 with Mathematics categories.
Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Since their introduction in the early 50's, copulas have gained considerable popularity in several fields of applied mathematics, such as finance, insurance and reliability theory. Today, they represent a well-recognized tool for market and credit models, aggregation of risks, portfolio selection, etc. This book is divided into two main parts: Part I - "Surveys" contains 11 chapters that provide an up-to-date account of essential aspects of copula models. Part II - "Contributions" collects the extended versions of 6 talks selected from papers presented at the workshop in Warsaw.