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Dependence Modeling With Copulas

Author: Harry Joe
Publisher: CRC Press
ISBN: 1466583223
Size: 27.21 MB
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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.

Copulas And Dependence Models With Applications

Author: Manuel Úbeda Flores
Publisher: Springer
ISBN: 3319642219
Size: 34.29 MB
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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.

Multivariate Models And Multivariate Dependence Concepts

Author: Harry Joe
Publisher: CRC Press
ISBN: 9780412073311
Size: 73.85 MB
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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.

Copula Theory And Its Applications

Author: Piotr Jaworski
Publisher: Springer Science & Business Media
ISBN: 9783642124655
Size: 36.66 MB
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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.

Copulae And Multivariate Probability Distributions In Finance

Author: Alexandra Dias
Publisher: Routledge
ISBN: 1317976916
Size: 40.72 MB
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Portfolio theory and much of asset pricing, as well as many empirical applications, depend on the use of multivariate probability distributions to describe asset returns. Traditionally, this has meant the multivariate normal (or Gaussian) distribution. More recently, theoretical and empirical work in financial economics has employed the multivariate Student (and other) distributions which are members of the elliptically symmetric class. There is also a growing body of work which is based on skew-elliptical distributions. These probability models all exhibit the property that the marginal distributions differ only by location and scale parameters or are restrictive in other respects. Very often, such models are not supported by the empirical evidence that the marginal distributions of asset returns can differ markedly. Copula theory is a branch of statistics which provides powerful methods to overcome these shortcomings. This book provides a synthesis of the latest research in the area of copulae as applied to finance and related subjects such as insurance. Multivariate non-Gaussian dependence is a fact of life for many problems in financial econometrics. This book describes the state of the art in tools required to deal with these observed features of financial data. This book was originally published as a special issue of the European Journal of Finance.

Design Of Coastal Structures And Sea Defenses

Author: Kim Young C
Publisher: World Scientific
ISBN: 9814611026
Size: 53.76 MB
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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 lesions 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.

Analysis Of Survival Data

Author: D.R. Cox
Publisher: CRC Press
ISBN: 9780412244902
Size: 66.56 MB
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This monograph contains many ideas on the analysis of survival data to present a comprehensive account of the field. The value of survival analysis is not confined to medical statistics, where the benefit of the analysis of data on such factors as life expectancy and duration of periods of freedom from symptoms of a disease as related to a treatment applied individual histories and so on, is obvious. The techniques also find important applications in industrial life testing and a range of subjects from physics to econometrics. In the eleven chapters of the book the methods and applications of are discussed and illustrated by examples.