Copula modeling: an introduction for practitioners
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Hanover, Mass. [u.a.]
now Publ.
2007
|
| Series: | Foundations and trends in econometrics
1:1, 2005 |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | IX, 115 S. graph. Darst. |
| ISBN: | 9781601980205 |
Staff View
MARC
| LEADER | 00000nam a2200000 cb4500 | ||
|---|---|---|---|
| 001 | BV035056975 | ||
| 003 | DE-604 | ||
| 005 | 20140919 | ||
| 007 | t | ||
| 008 | 080917s2007 d||| |||| 00||| eng d | ||
| 020 | |a 9781601980205 |c pbk : $ 102.00 |9 978-1-60198-020-5 | ||
| 035 | |a (OCoLC)254493303 | ||
| 035 | |a (DE-599)HBZHT015299896 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-N2 |a DE-19 | ||
| 084 | |a QH 320 |0 (DE-625)141568: |2 rvk | ||
| 100 | 1 | |a Trivedi, Pravin K. |d 1943- |e Verfasser |0 (DE-588)118054791 |4 aut | |
| 245 | 1 | 0 | |a Copula modeling |b an introduction for practitioners |c Pravin K. Trivedi ; David M. Zimmer |
| 264 | 1 | |a Hanover, Mass. [u.a.] |b now Publ. |c 2007 | |
| 300 | |a IX, 115 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Foundations and trends in econometrics |v 1:1, 2005 | |
| 700 | 1 | |a Zimmer, David M. |e Verfasser |4 aut | |
| 830 | 0 | |a Foundations and trends in econometrics |v 1:1, 2005 |w (DE-604)BV040753734 |9 1:1, 2005 | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u 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 |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-016725554 | ||
Record in the Search Index
| _version_ | 1804137999543304192 |
|---|---|
| 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 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Trivedi, Pravin K. 1943- Zimmer, David M. |
| author_GND | (DE-588)118054791 |
| author_facet | Trivedi, Pravin K. 1943- Zimmer, David M. |
| author_role | aut aut |
| author_sort | Trivedi, Pravin K. 1943- |
| author_variant | p k t pk pkt d m z dm dmz |
| building | Verbundindex |
| bvnumber | BV035056975 |
| classification_rvk | QH 320 |
| ctrlnum | (OCoLC)254493303 (DE-599)HBZHT015299896 |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01311nam a2200313 cb4500</leader><controlfield tag="001">BV035056975</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20140919 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">080917s2007 d||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781601980205</subfield><subfield code="c">pbk : $ 102.00</subfield><subfield code="9">978-1-60198-020-5</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)254493303</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)HBZHT015299896</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-N2</subfield><subfield code="a">DE-19</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QH 320</subfield><subfield code="0">(DE-625)141568:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Trivedi, Pravin K.</subfield><subfield code="d">1943-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)118054791</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Copula modeling</subfield><subfield code="b">an introduction for practitioners</subfield><subfield code="c">Pravin K. Trivedi ; David M. Zimmer</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Hanover, Mass. [u.a.]</subfield><subfield code="b">now Publ.</subfield><subfield code="c">2007</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">IX, 115 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">Foundations and trends in econometrics</subfield><subfield code="v">1:1, 2005</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Zimmer, David M.</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">Foundations and trends in econometrics</subfield><subfield code="v">1:1, 2005</subfield><subfield code="w">(DE-604)BV040753734</subfield><subfield code="9">1:1, 2005</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">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</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-016725554</subfield></datafield></record></collection> |
| id | DE-604.BV035056975 |
| illustrated | Illustrated |
| index_date | 2024-07-02T21:58:57Z |
| indexdate | 2024-07-09T21:21:13Z |
| institution | BVB |
| isbn | 9781601980205 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016725554 |
| oclc_num | 254493303 |
| open_access_boolean | |
| owner | DE-N2 DE-19 DE-BY-UBM |
| owner_facet | DE-N2 DE-19 DE-BY-UBM |
| physical | IX, 115 S. graph. Darst. |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | now Publ. |
| record_format | marc |
| series | Foundations and trends in econometrics |
| series2 | Foundations and trends in econometrics |
| 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 |
| url | 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 |
| volume_link | (DE-604)BV040753734 |
| work_keys_str_mv | AT trivedipravink copulamodelinganintroductionforpractitioners AT zimmerdavidm copulamodelinganintroductionforpractitioners |