Copula modeling: an introduction for practitioners
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Hanover, Mass. [u.a.]
now Publ.
2007
|
| Schriftenreihe: | Foundations and trends in econometrics
1:1, 2005 |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | IX, 115 S. graph. Darst. |
| ISBN: | 9781601980205 |
Internformat
MARC
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Datensatz im Suchindex
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| adam_text | Titel: Copula modeling
Autor: Trivedi, Pravin K
Jahr: 2007
Copula Modeling: An Introduction for Practitioners Pravin K. Trivedi Department of Economics, Indiana University Wylie Hall 105 Bloomington, IN 47405 trivedi@indiana.edu David M. Zimmer Western Kentucky University, Department of Economics 1906 College Heights Blvd. Bowling Green, KY 42101 dmzimmer@gmail. com formerly at U.S. Federal Trade Commission new the essence of knowledge Boston - Delft
Contents 1 Introduction 1 2 Copulas and Dependence 7 2.1 Basics of Joint Distributions 7 2.2 Copula Functions 9 2.3 Some Common Bivariate Copulas 14 2.4 Measuring Dependence 19 2.5 Visual Illustration of Dependence 27 3 Generating Copulas 33 3.1 Method of Inversion 34 3.2 Algebraic Methods 36 3.3 Mixtures and Convex Sums 37 3.4 Archimedean copulas 42 3.5 Extensions of Bivariate Copulas 45 4 Copula Estimation 55 4.1 Copula Likelihoods 56 4.2 Two-Step Sequential Likelihood Maximization 59 4.3 Copula Evaluation and Selection 63 4.4 Monte Carlo Illustrations 68 4.5 Empirical Applications 74 IX
4.6 Causal Modeling and Latent Factors 90 5 Conclusion 99 References 101 A Copulas and Random Number Generation 111 A.l Selected Illustrations 112
|
| adam_txt |
Titel: Copula modeling
Autor: Trivedi, Pravin K
Jahr: 2007
Copula Modeling: An Introduction for Practitioners Pravin K. Trivedi Department of Economics, Indiana University Wylie Hall 105 Bloomington, IN 47405 trivedi@indiana.edu David M. Zimmer Western Kentucky University, Department of Economics 1906 College Heights Blvd. Bowling Green, KY 42101 dmzimmer@gmail. com formerly at U.S. Federal Trade Commission new the essence of knowledge Boston - Delft
Contents 1 Introduction 1 2 Copulas and Dependence 7 2.1 Basics of Joint Distributions 7 2.2 Copula Functions 9 2.3 Some Common Bivariate Copulas 14 2.4 Measuring Dependence 19 2.5 Visual Illustration of Dependence 27 3 Generating Copulas 33 3.1 Method of Inversion 34 3.2 Algebraic Methods 36 3.3 Mixtures and Convex Sums 37 3.4 Archimedean copulas 42 3.5 Extensions of Bivariate Copulas 45 4 Copula Estimation 55 4.1 Copula Likelihoods 56 4.2 Two-Step Sequential Likelihood Maximization 59 4.3 Copula Evaluation and Selection 63 4.4 Monte Carlo Illustrations 68 4.5 Empirical Applications 74 IX
4.6 Causal Modeling and Latent Factors 90 5 Conclusion 99 References 101 A Copulas and Random Number Generation 111 A.l Selected Illustrations 112 |
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| spelling | Trivedi, Pravin K. 1943- Verfasser (DE-588)118054791 aut Copula modeling an introduction for practitioners Pravin K. Trivedi ; David M. Zimmer Hanover, Mass. [u.a.] now Publ. 2007 IX, 115 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Foundations and trends in econometrics 1:1, 2005 Zimmer, David M. Verfasser aut Foundations and trends in econometrics 1:1, 2005 (DE-604)BV040753734 1:1, 2005 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016725554&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Trivedi, Pravin K. 1943- Zimmer, David M. Copula modeling an introduction for practitioners Foundations and trends in econometrics |
| title | Copula modeling an introduction for practitioners |
| title_auth | Copula modeling an introduction for practitioners |
| title_exact_search | Copula modeling an introduction for practitioners |
| title_exact_search_txtP | Copula modeling an introduction for practitioners |
| title_full | Copula modeling an introduction for practitioners Pravin K. Trivedi ; David M. Zimmer |
| title_fullStr | Copula modeling an introduction for practitioners Pravin K. Trivedi ; David M. Zimmer |
| title_full_unstemmed | Copula modeling an introduction for practitioners Pravin K. Trivedi ; David M. Zimmer |
| title_short | Copula modeling |
| title_sort | copula modeling an introduction for practitioners |
| title_sub | an introduction for practitioners |
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