An introduction to copulas:
Gespeichert in:
1. Verfasser: | |
---|---|
Format: | Buch |
Sprache: | English |
Veröffentlicht: |
New York, NY
Springer
2006
|
Ausgabe: | 2. ed. |
Schriftenreihe: | Springer series in statistics
|
Schlagworte: | |
Online-Zugang: | http://deposit.dnb.de/cgi-bin/dokserv?id=2665354&prov=M&dok_var=1&dok_ext=htm Inhaltsverzeichnis |
Beschreibung: | XIII, 269 S. graph. Darst. |
ISBN: | 0387286594 9780387286594 |
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245 | 1 | 0 | |a An introduction to copulas |c Roger B. Nelsen |
250 | |a 2. ed. | ||
264 | 1 | |a New York, NY |b Springer |c 2006 | |
300 | |a XIII, 269 S. |b graph. Darst. | ||
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490 | 0 | |a Springer series in statistics | |
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Datensatz im Suchindex
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---|---|
adam_text |
Contents
Preface
to the First Edition
.
.vii
Preface to the Second Editioa
.ix
1
Introduction
.1
2
Definitions and Basic Properties.
.7
2.1
Preliminaries
.7
2.2
Copulas
.10
Exercises
2.1-2.11.14
2.3
Sklar's Theorem
.17
2.4
Copulas and Random Variables
.24
Exercises
2.12-2.17.28
2.5
The
Fréchet-Hoeffding
Bounds for Joint Distribution
Functions of Random Variables.
.30
2.6
Survival Copulas.
.32
Exercises
2.18-2.26.34
2.7
Symmetry
.36
2.8
Order
.38
Exercises
2.27-2.33.39
2.9
Random
Variate
Generation.
.40
2.10
Multivariate Copulas.
.42
Exercises
2.34-2.37.48
3
Methods of Constructing Copulas.
.51
3.1
The Inversion Method
.51
3.1.1
The Marshall-Olkin Bivariate Exponential Distribution
.52
3.1.2
The Circular Uniform Distribution.
.55
Exercises
3.1-3.6.57
3.2
Geometric Methods
.59
3.2.1
Singular Copulas with Prescribed Support
.59
3.2.2
Ordinal Sums
.63
Exercises
3.7-3.13.64
3.2.3
Shuffles of M.
.67
3.2.4
Convex Sums.
.72
Exercises
3.14-3.20.74
3.2.5
Copulas with Prescribed Horizontal or Vertical Sections.
76
3.2.6
Copulas with Prescribed Diagonal Sections
.84
xii Contents
Exercises
3.21-3.34.86
3.3
Algebraic Methods
.89
3.3.1
Plackett Distributions
.89
3.3.2
Ali-Mikhail-Haq Distributions
.92
3.3.3
A Copula Transformation Method
.94
3.3.4
Extreme Value Copulas
.97
Exercises
3.35-3.42.99
3.4
Copulas with Specified Properties
.101
3.4.1
Harmonic Copulas
.101
3.4.2
Homogeneous Copulas.
.101
3.4.3
Concave and Convex Copulas
.102
3.5
Constructing Multivariate Copulas
.105
4
Archimedean Copulas
.109
4.1
Definitions
.109
4.2
One-parameter Families
.114
4.3
Fundamental Properties
.115
Exercises
4.1-4.17.132
4.4
Order and Limiting Cases.
.135
4.5
Two-parameter Families
.141
4.5.1
Families of Generators
.141
4.5.2
Rational Archimedean Copulas.
.146
Exercises
4.18-4.23.150
4.6
Multivariate Archimedean Copulas
.151
Exercises
4.24-4.25.155
5
Dependence.
.157
5.1
Concordance.
. . 157
5.1.1
Kendall's
tau.158
Exercises
5.1-5.5.165
5.1.2
Spearman's rho
.167
Exercises
5.6-5.15.171
5.1.3
The Relationship between Kendall's
tau
and Spearman's rho
.174
5.1.4
Other Concordance Measures.
.180
Exercises
5.16-5.21.
\\[
.
"II"IIII"II_."I.185
5.2
Dependence Properties.
.186
5.2.1
Quadrant Dependence.
.187
Exercises
5.22-5.29.
'.'".".Y."""".
.
[.""ISP
5.2.2
Tail Monotonicity.
.191
5.2.3
Stochastic Monotonicity, Corner Set Monotonicity,
and Likelihood Ratio Dependence
. 195
Exercises
5.30-5.39.
""""~"!]!!^"""!"[]204
5.3
Other Measures of Association.
.207
5.3.1
Measures of Dependence.
.^207
5.3.2
Measures Based on Gini's Coefficient.
211
Exercises
5.40-5.46.
"!!!""."""!"!""Í13
5.4
Tail Dependence.
.214
Contents xiii
Exercises
5.47-5.50.216
5.5
Median
Regression.
.217
5.6
Empirical Copulas
.219
5.7
Multivariate Dependence
.222
6
Additional Topics
.227
6.1
Distributions with Fixed Margins
.227
Exercises
6.1-6.5.233
6.2
Quasi-copulas.
.236
Exercises
6.6-6.8.240
6.3
Operations on Distribution Functions
.241
6.4
Markov Processes
.244
Exercises
6.9-6.13.248
References
.251
List of Symbols.
.263
Index
.265 |
adam_txt |
Contents
Preface
to the First Edition
.
.vii
Preface to the Second Editioa
.ix
1
Introduction
.1
2
Definitions and Basic Properties.
.7
2.1
Preliminaries
.7
2.2
Copulas
.10
Exercises
2.1-2.11.14
2.3
Sklar's Theorem
.17
2.4
Copulas and Random Variables
.24
Exercises
2.12-2.17.28
2.5
The
Fréchet-Hoeffding
Bounds for Joint Distribution
Functions of Random Variables.
.30
2.6
Survival Copulas.
.32
Exercises
2.18-2.26.34
2.7
Symmetry
.36
2.8
Order
.38
Exercises
2.27-2.33.39
2.9
Random
Variate
Generation.
.40
2.10
Multivariate Copulas.
.42
Exercises
2.34-2.37.48
3
Methods of Constructing Copulas.
.51
3.1
The Inversion Method
.51
3.1.1
The Marshall-Olkin Bivariate Exponential Distribution
.52
3.1.2
The Circular Uniform Distribution.
.55
Exercises
3.1-3.6.57
3.2
Geometric Methods
.59
3.2.1
Singular Copulas with Prescribed Support
.59
3.2.2
Ordinal Sums
.63
Exercises
3.7-3.13.64
3.2.3
Shuffles of M.
.67
3.2.4
Convex Sums.
.72
Exercises
3.14-3.20.74
3.2.5
Copulas with Prescribed Horizontal or Vertical Sections.
76
3.2.6
Copulas with Prescribed Diagonal Sections
.84
xii Contents
Exercises
3.21-3.34.86
3.3
Algebraic Methods
.89
3.3.1
Plackett Distributions
.89
3.3.2
Ali-Mikhail-Haq Distributions
.92
3.3.3
A Copula Transformation Method
.94
3.3.4
Extreme Value Copulas
.97
Exercises
3.35-3.42.99
3.4
Copulas with Specified Properties
.101
3.4.1
Harmonic Copulas
.101
3.4.2
Homogeneous Copulas.
.101
3.4.3
Concave and Convex Copulas
.102
3.5
Constructing Multivariate Copulas
.105
4
Archimedean Copulas
.109
4.1
Definitions
.109
4.2
One-parameter Families
.114
4.3
Fundamental Properties
.115
Exercises
4.1-4.17.132
4.4
Order and Limiting Cases.
.135
4.5
Two-parameter Families
.141
4.5.1
Families of Generators
.141
4.5.2
Rational Archimedean Copulas.
.146
Exercises
4.18-4.23.150
4.6
Multivariate Archimedean Copulas
.151
Exercises
4.24-4.25.155
5
Dependence.
.157
5.1
Concordance.
. . 157
5.1.1
Kendall's
tau.158
Exercises
5.1-5.5.165
5.1.2
Spearman's rho
.167
Exercises
5.6-5.15.171
5.1.3
The Relationship between Kendall's
tau
and Spearman's rho
.174
5.1.4
Other Concordance Measures.
.180
Exercises
5.16-5.21.
\\[
.
"II"IIII"II_."I.185
5.2
Dependence Properties.
.186
5.2.1
Quadrant Dependence.
.187
Exercises
5.22-5.29.
'.'".".Y."""".
.
[.""ISP
5.2.2
Tail Monotonicity.
.191
5.2.3
Stochastic Monotonicity, Corner Set Monotonicity,
and Likelihood Ratio Dependence
. 195
Exercises
5.30-5.39.
""""~"!]!!^"""!"[]204
5.3
Other Measures of Association.
.207
5.3.1
Measures of Dependence.
.^207
5.3.2
Measures Based on Gini's Coefficient.
211
Exercises
5.40-5.46.
"!!!""."""!"!""Í13
5.4
Tail Dependence.
.214
Contents xiii
Exercises
5.47-5.50.216
5.5
Median
Regression.
.217
5.6
Empirical Copulas
.219
5.7
Multivariate Dependence
.222
6
Additional Topics
.227
6.1
Distributions with Fixed Margins
.227
Exercises
6.1-6.5.233
6.2
Quasi-copulas.
.236
Exercises
6.6-6.8.240
6.3
Operations on Distribution Functions
.241
6.4
Markov Processes
.244
Exercises
6.9-6.13.248
References
.251
List of Symbols.
.263
Index
.265 |
any_adam_object | 1 |
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author | Nelsen, Roger B. 1942- |
author_GND | (DE-588)12076945X |
author_facet | Nelsen, Roger B. 1942- |
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callnumber-subject | QA - Mathematics |
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classification_tum | MAT 603f |
ctrlnum | (OCoLC)63204519 (OCoLC)255413050 (DE-599)BVBBV021535919 |
dewey-full | 519.5/35 |
dewey-hundreds | 500 - Natural sciences and mathematics |
dewey-ones | 519 - Probabilities and applied mathematics |
dewey-raw | 519.5/35 |
dewey-search | 519.5/35 |
dewey-sort | 3519.5 235 |
dewey-tens | 510 - Mathematics |
discipline | Mathematik Wirtschaftswissenschaften |
discipline_str_mv | Mathematik Wirtschaftswissenschaften |
edition | 2. ed. |
format | Book |
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genre | 1\p (DE-588)4151278-9 Einführung gnd-content 2\p (DE-588)4143389-0 Aufgabensammlung gnd-content |
genre_facet | Einführung Aufgabensammlung |
id | DE-604.BV021535919 |
illustrated | Illustrated |
index_date | 2024-07-02T14:26:45Z |
indexdate | 2024-07-20T09:06:52Z |
institution | BVB |
isbn | 0387286594 9780387286594 |
language | English |
oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-014752196 |
oclc_num | 63204519 255413050 |
open_access_boolean | |
owner | DE-19 DE-BY-UBM DE-91G DE-BY-TUM DE-N2 DE-824 DE-29T DE-355 DE-BY-UBR DE-70 DE-521 DE-M347 DE-20 DE-384 DE-M382 DE-11 DE-188 DE-523 DE-703 DE-83 DE-473 DE-BY-UBG |
owner_facet | DE-19 DE-BY-UBM DE-91G DE-BY-TUM DE-N2 DE-824 DE-29T DE-355 DE-BY-UBR DE-70 DE-521 DE-M347 DE-20 DE-384 DE-M382 DE-11 DE-188 DE-523 DE-703 DE-83 DE-473 DE-BY-UBG |
physical | XIII, 269 S. graph. Darst. |
publishDate | 2006 |
publishDateSearch | 2006 |
publishDateSort | 2006 |
publisher | Springer |
record_format | marc |
series2 | Springer series in statistics |
spelling | Nelsen, Roger B. 1942- Verfasser (DE-588)12076945X aut An introduction to copulas Roger B. Nelsen 2. ed. New York, NY Springer 2006 XIII, 269 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Springer series in statistics Copules (Statistique mathématique) Distribuições (probabilidade) larpcal Multivariate analyse gtt Ordenação estocástica larpcal Probabilidade aplicada larpcal Copulas (Mathematical statistics) Multivariate Normalverteilung (DE-588)4227589-1 gnd rswk-swf Multivariate Analyse (DE-588)4040708-1 gnd rswk-swf Verteilungsfunktion (DE-588)4192219-0 gnd rswk-swf Kopula Mathematik (DE-588)4529954-7 gnd rswk-swf 1\p (DE-588)4151278-9 Einführung gnd-content 2\p (DE-588)4143389-0 Aufgabensammlung gnd-content Kopula Mathematik (DE-588)4529954-7 s DE-604 Verteilungsfunktion (DE-588)4192219-0 s 3\p DE-604 Multivariate Normalverteilung (DE-588)4227589-1 s 4\p DE-604 Multivariate Analyse (DE-588)4040708-1 s 5\p DE-604 Erscheint auch als Online-Ausgabe 978-0-387-28678-5 http://deposit.dnb.de/cgi-bin/dokserv?id=2665354&prov=M&dok_var=1&dok_ext=htm Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014752196&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 4\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 5\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
spellingShingle | Nelsen, Roger B. 1942- An introduction to copulas Copules (Statistique mathématique) Distribuições (probabilidade) larpcal Multivariate analyse gtt Ordenação estocástica larpcal Probabilidade aplicada larpcal Copulas (Mathematical statistics) Multivariate Normalverteilung (DE-588)4227589-1 gnd Multivariate Analyse (DE-588)4040708-1 gnd Verteilungsfunktion (DE-588)4192219-0 gnd Kopula Mathematik (DE-588)4529954-7 gnd |
subject_GND | (DE-588)4227589-1 (DE-588)4040708-1 (DE-588)4192219-0 (DE-588)4529954-7 (DE-588)4151278-9 (DE-588)4143389-0 |
title | An introduction to copulas |
title_auth | An introduction to copulas |
title_exact_search | An introduction to copulas |
title_exact_search_txtP | An introduction to copulas |
title_full | An introduction to copulas Roger B. Nelsen |
title_fullStr | An introduction to copulas Roger B. Nelsen |
title_full_unstemmed | An introduction to copulas Roger B. Nelsen |
title_short | An introduction to copulas |
title_sort | an introduction to copulas |
topic | Copules (Statistique mathématique) Distribuições (probabilidade) larpcal Multivariate analyse gtt Ordenação estocástica larpcal Probabilidade aplicada larpcal Copulas (Mathematical statistics) Multivariate Normalverteilung (DE-588)4227589-1 gnd Multivariate Analyse (DE-588)4040708-1 gnd Verteilungsfunktion (DE-588)4192219-0 gnd Kopula Mathematik (DE-588)4529954-7 gnd |
topic_facet | Copules (Statistique mathématique) Distribuições (probabilidade) Multivariate analyse Ordenação estocástica Probabilidade aplicada Copulas (Mathematical statistics) Multivariate Normalverteilung Multivariate Analyse Verteilungsfunktion Kopula Mathematik Einführung Aufgabensammlung |
url | http://deposit.dnb.de/cgi-bin/dokserv?id=2665354&prov=M&dok_var=1&dok_ext=htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014752196&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
work_keys_str_mv | AT nelsenrogerb anintroductiontocopulas |