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The book explains the pair-copula construction principles underlying these statistical models and discusses how to perform model selection and inference. It also derives simulation algorithms and presents real-world examples to illustrate the methodological concepts. The book includes numerous exercises that facilitate and deepen readers¿ understanding, and demonstrates how the R package VineCopula can be used to explore and build statistical dependence models from scratch. In closing, the book provides insights into recent developments and open research questions in vine copula based modeling.
The book is intended for students as well as statisticians, data analysts and any other quantitatively oriented researchers who are new to the field of vine copulas. Accordingly, it provides the necessary background in multivariate statistics and copula theory for exploratory data tools, so that readers only need a basic grasp of statistics and probability.
The book explains the pair-copula construction principles underlying these statistical models and discusses how to perform model selection and inference. It also derives simulation algorithms and presents real-world examples to illustrate the methodological concepts. The book includes numerous exercises that facilitate and deepen readers¿ understanding, and demonstrates how the R package VineCopula can be used to explore and build statistical dependence models from scratch. In closing, the book provides insights into recent developments and open research questions in vine copula based modeling.
The book is intended for students as well as statisticians, data analysts and any other quantitatively oriented researchers who are new to the field of vine copulas. Accordingly, it provides the necessary background in multivariate statistics and copula theory for exploratory data tools, so that readers only need a basic grasp of statistics and probability.
Claudia Czado is an Associate Professor of Applied Mathematical Statistics at the Technical University of Munich, Germany. Her research interests are in the dependence modeling of complex data structures, copula based quantile regression, generalized linear models and computational Bayesian methods, and the applications of these methods. She holds a Ph.D. in Operations Research and Industrial Engineering from Cornell University, USA.
Offers a step-by-step introduction to vine copula based dependence modeling, including model selection and estimation methods for vine copulas
Features easy-to-follow derivations and illustrations to explain the underlying statistical concepts
Includes numerous exercises and real-world examples, and shows how to use the R package VineCopula to explore, build and compare vine based models
Provides an overview of the latest developments in vine copula modeling
Preface.- Multivariate Distributions and Copulas.- Dependence Measures.- Bivariate Copula Classes, Their Visualization and Estimation.- Pair Copula Decompositions and Constructions.- Regular Vines.- Simulating Regular Vine Copulas and Distributions.- Parameter Estimation in Regular Vine Copulas.- Selection of Regular Vine Copula Models.- Comparing Regular Vine Copula Models.- Case Study: Dependence Among German DAX Stocks.- Recent Developments in Vine Copula Based Modeling.- Indices.
| Erscheinungsjahr: | 2019 |
|---|---|
| Fachbereich: | Wahrscheinlichkeitstheorie |
| Genre: | Mathematik |
| Rubrik: | Naturwissenschaften & Technik |
| Medium: | Taschenbuch |
| Reihe: | Lecture Notes in Statistics |
| Inhalt: |
xxix
242 S. 45 s/w Illustr. 25 farbige Illustr. 242 p. 70 illus. 25 illus. in color. |
| ISBN-13: | 9783030137847 |
| ISBN-10: | 3030137848 |
| Sprache: | Englisch |
| Herstellernummer: | 978-3-030-13784-7 |
| Ausstattung / Beilage: | Paperback |
| Einband: | Kartoniert / Broschiert |
| Autor: | Czado, Claudia |
| Auflage: | 1st ed. 2019 |
| Hersteller: |
Springer International Publishing
Springer International Publishing AG Lecture Notes in Statistics |
| Maße: | 235 x 155 x 15 mm |
| Von/Mit: | Claudia Czado |
| Erscheinungsdatum: | 15.05.2019 |
| Gewicht: | 0,417 kg |
Claudia Czado is an Associate Professor of Applied Mathematical Statistics at the Technical University of Munich, Germany. Her research interests are in the dependence modeling of complex data structures, copula based quantile regression, generalized linear models and computational Bayesian methods, and the applications of these methods. She holds a Ph.D. in Operations Research and Industrial Engineering from Cornell University, USA.
Offers a step-by-step introduction to vine copula based dependence modeling, including model selection and estimation methods for vine copulas
Features easy-to-follow derivations and illustrations to explain the underlying statistical concepts
Includes numerous exercises and real-world examples, and shows how to use the R package VineCopula to explore, build and compare vine based models
Provides an overview of the latest developments in vine copula modeling
Preface.- Multivariate Distributions and Copulas.- Dependence Measures.- Bivariate Copula Classes, Their Visualization and Estimation.- Pair Copula Decompositions and Constructions.- Regular Vines.- Simulating Regular Vine Copulas and Distributions.- Parameter Estimation in Regular Vine Copulas.- Selection of Regular Vine Copula Models.- Comparing Regular Vine Copula Models.- Case Study: Dependence Among German DAX Stocks.- Recent Developments in Vine Copula Based Modeling.- Indices.
| Erscheinungsjahr: | 2019 |
|---|---|
| Fachbereich: | Wahrscheinlichkeitstheorie |
| Genre: | Mathematik |
| Rubrik: | Naturwissenschaften & Technik |
| Medium: | Taschenbuch |
| Reihe: | Lecture Notes in Statistics |
| Inhalt: |
xxix
242 S. 45 s/w Illustr. 25 farbige Illustr. 242 p. 70 illus. 25 illus. in color. |
| ISBN-13: | 9783030137847 |
| ISBN-10: | 3030137848 |
| Sprache: | Englisch |
| Herstellernummer: | 978-3-030-13784-7 |
| Ausstattung / Beilage: | Paperback |
| Einband: | Kartoniert / Broschiert |
| Autor: | Czado, Claudia |
| Auflage: | 1st ed. 2019 |
| Hersteller: |
Springer International Publishing
Springer International Publishing AG Lecture Notes in Statistics |
| Maße: | 235 x 155 x 15 mm |
| Von/Mit: | Claudia Czado |
| Erscheinungsdatum: | 15.05.2019 |
| Gewicht: | 0,417 kg |
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