Dependence Modeling
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Dependence Modeling
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Author : Harry Joe
language : en
Publisher: World Scientific
Release Date : 2011
Dependence Modeling written by Harry Joe and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Business & Economics categories.
1. Introduction : Dependence modeling / D. Kurowicka -- 2. Multivariate copulae / M. Fischer -- 3. Vines arise / R.M. Cooke, H. Joe and K. Aas -- 4. Sampling count variables with specified Pearson correlation : A comparison between a naive and a C-vine sampling approach / V. Erhardt and C. Czado -- 5. Micro correlations and tail dependence / R.M. Cooke, C. Kousky and H. Joe -- 6. The Copula information criterion and Its implications for the maximum pseudo-likelihood estimator / S. Gronneberg -- 7. Dependence comparisons of vine copulae with four or more variables / H. Joe -- 8. Tail dependence in vine copulae / H. Joe -- 9. Counting vines / O. Morales-Napoles -- 10. Regular vines : Generation algorithm and number of equivalence classes / H. Joe, R.M. Cooke and D. Kurowicka -- 11. Optimal truncation of vines / D. Kurowicka -- 12. Bayesian inference for D-vines : Estimation and model selection / C. Czado and A. Min -- 13. Analysis of Australian electricity loads using joint Bayesian inference of D-vines with autoregressive margins / C. Czado, F. Gartner and A. Min -- 14. Non-parametric Bayesian belief nets versus vines / A. Hanea -- 15. Modeling dependence between financial returns using pair-copula constructions / K. Aas and D. Berg -- 16. Dynamic D-vine model / A. Heinen and A. Valdesogo -- 17. Summary and future directions / D. Kurowicka
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 factor models that extend from the Gaussian assumption to copulas. It also discusses other multivariate constructions and parametric copula families that have different tail properties and presents extensive material on dependence and tail properties to assist in copula model selection. The author shows how numerical methods and algorithms for inference and simulation are important in high-dimensional copula applications. He presents the algorithms as pseudocode, illustrating their implementation for high-dimensional copula models. He also incorporates results to determine dependence and tail properties of multivariate distributions for future constructions of copula models.
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
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.
Hierarchical Modeling And Inference In Ecology
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Author : J. Andrew Royle
language : en
Publisher: Elsevier
Release Date : 2008-10-15
Hierarchical Modeling And Inference In Ecology written by J. Andrew Royle and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-10-15 with Science categories.
A guide to data collection, modeling and inference strategies for biological survey data using Bayesian and classical statistical methods.This book describes a general and flexible framework for modeling and inference in ecological systems based on hierarchical models, with a strict focus on the use of probability models and parametric inference. Hierarchical models represent a paradigm shift in the application of statistics to ecological inference problems because they combine explicit models of ecological system structure or dynamics with models of how ecological systems are observed. The principles of hierarchical modeling are developed and applied to problems in population, metapopulation, community, and metacommunity systems. The book provides the first synthetic treatment of many recent methodological advances in ecological modeling and unifies disparate methods and procedures.The authors apply principles of hierarchical modeling to ecological problems, including * occurrence or occupancy models for estimating species distribution* abundance models based on many sampling protocols, including distance sampling* capture-recapture models with individual effects* spatial capture-recapture models based on camera trapping and related methods* population and metapopulation dynamic models* models of biodiversity, community structure and dynamics - Wide variety of examples involving many taxa (birds, amphibians, mammals, insects, plants) - Development of classical, likelihood-based procedures for inference, as well as Bayesian methods of analysis - Detailed explanations describing the implementation of hierarchical models using freely available software such as R and WinBUGS - Computing support in technical appendices in an online companion web site
Direction Dependence In Statistical Modeling
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Author : Wolfgang Wiedermann
language : en
Publisher: John Wiley & Sons
Release Date : 2020-11-24
Direction Dependence In Statistical Modeling written by Wolfgang Wiedermann 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 2020-11-24 with Mathematics categories.
Covers the latest developments in direction dependence research Direction Dependence in Statistical Modeling: Methods of Analysis incorporates the latest research for the statistical analysis of hypotheses that are compatible with the causal direction of dependence of variable relations. Having particular application in the fields of neuroscience, clinical psychology, developmental psychology, educational psychology, and epidemiology, direction dependence methods have attracted growing attention due to their potential to help decide which of two competing statistical models is more likely to reflect the correct causal flow. The book covers several topics in-depth, including: A demonstration of the importance of methods for the analysis of direction dependence hypotheses A presentation of the development of methods for direction dependence analysis together with recent novel, unpublished software implementations A review of methods of direction dependence following the copula-based tradition of Sungur and Kim A presentation of extensions of direction dependence methods to the domain of categorical data An overview of algorithms for causal structure learning The book's fourteen chapters include a discussion of the use of custom dialogs and macros in SPSS to make direction dependence analysis accessible to empirical researchers.
An Introduction To Exponential Random Graph Modeling
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Author : Jenine K. Harris
language : en
Publisher: SAGE Publications
Release Date : 2013-12-23
An Introduction To Exponential Random Graph Modeling written by Jenine K. Harris and has been published by SAGE Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-23 with Social Science categories.
This volume introduces the basic concepts of Exponential Random Graph Modeling (ERGM), gives examples of why it is used, and shows the reader how to conduct basic ERGM analyses in their own research. ERGM is a statistical approach to modeling social network structure that goes beyond the descriptive methods conventionally used in social network analysis. Although it was developed to handle the inherent non-independence of network data, the results of ERGM are interpreted in similar ways to logistic regression, making this a very useful method for examining social systems. Recent advances in statistical software have helped make ERGM accessible to social scientists, but a concise guide to using ERGM has been lacking. This book fills that gap, by using examples from public health, and walking the reader through the process of ERGM model-building using R statistical software and the statnet package. An Introduction to Exponential Random Graph Modeling is a part of SAGE’s Quantitative Applications in the Social Sciences (QASS) series, which has helped countless students, instructors, and researchers learn cutting-edge quantitative techniques.
Credit Risk Modeling
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Author : David Lando
language : en
Publisher: Princeton University Press
Release Date : 2009-12-13
Credit Risk Modeling written by David Lando and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-12-13 with Business & Economics categories.
Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk. David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves. The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations. The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations.
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.
Constructing Insurable Risk Portfolios
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Author : Edward W. Frees
language : en
Publisher: CRC Press
Release Date : 2025-04-09
Constructing Insurable Risk Portfolios written by Edward W. Frees and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-04-09 with Business & Economics categories.
Constructing Insurable Risk Portfolios offers a data-driven approach to devising risk retention programs that safeguard firms from a multitude of risks. Because firms face many risks, including fire damage to their buildings, liability from management misconduct, and external threats like cyberattacks, this book treats these potential liabilities as a "portfolio." Drawing inspiration from Markowitz portfolio theory, the text leverages techniques from probability, statistics, and optimization to build algorithms that construct optimal risk insurable portfolios under budget constraints. Features Through engaging case studies and supporting statistical (R) code, readers will learn how to build optimal insurable risk portfolios. This book illustrates a frontier that depicts the trade-off between the uncertainty of a portfolio and the cost of risk transfer. This visual representation, mirroring familiar Markowitz investment tools, enables informed decision-making and easy adoption by risk advisors. This book lays the mathematical groundwork for constructing optimal insurable risk portfolios in an effective and aesthetically pleasing manner. For those interested in the detailed mathematical aspects of insurable risk portfolio optimization, comprehensive proofs and derivations are available in an online supplement. This book equips students, academics, and practitioners with quantitative tools to analyze real-world risk portfolios. Additionally, it empowers financial analysts to provide data-driven insights that enhance their advisory roles for risk managers.