Copula theory and its applications: proceedings of the workshop held in Warsaw, 25 - 26 September 2009
Saved in:
| Other Authors: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Berlin [u.a.]
Springer
2010
|
| Series: | Lecture notes in statistics
198 : Proceedings |
| Subjects: | |
| Online Access: | Inhaltstext Inhaltsverzeichnis |
| Physical Description: | XVIII, 327 S. graph. Darst. |
| ISBN: | 9783642124648 |
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Record in the Search Index
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CONTENTS PARTI SURVEYS 1 COPULA THEORY: AN INTRODUCTION 3 FABRIZIO
DURANTE AND CARLO SEMPI 1.1 HISTORICAL INTRODUCTION 3 1.1.1 OUTLINE 6
1.2 PRELIMINARIES ON RANDOM VARIABLES AND DISTRIBUTION FUNCTIONS . 6
1.3 COPULAS: DEFINITIONS AND BASIC PROPERTIES 9 1.4 SKLAR'S THEOREM 12
1.5 COPULAS AND RANDOM VECTORS 14 1.6 FAMILIES OF COPULAS 15 1.6.1
ELLIPTICAL COPULAS 16 1.6.2 ARCHIMEDEAN COPULAS 17 1.6.3 EFGM COPULAS 19
1.7 CONSTRUCTIONS OF COPULAS 20 1.7.1 COPULAS WITH GIVEN LOWER
DIMENSIONAL MARGINALS 20 1.7.2 COPULA-TO-COPULA TRANSFORMATIONS 21 1.7.3
GEOMETRIC CONSTRUCTIONS OF COPULAS 22 1.8 COPULA THEORY: WHAT'S THE
FUTURE? 23 REFERENCES 24 2 DYNAMIC MODELING OF DEPENDENCE IN FINANCE VIA
COPULAE BETWEEN STOCHASTIC PROCESSES 33 TOMASZ R. BIELECKI, JACEK
JAKUBOWSKI AND MARIUSZ NIEWEGLOWSKI 2.1 INTRODUCTION 33 2.2 LEVY COPULAE
35 2.3 SEMIMARTINGALE COPULAE 39 2.3.1 COPULAE FOR SPECIAL
SEMIMARTINGALES 39 2.3.2 CONSISTENT SEMIMARTINGALE COPULAE 48 2.4 MARKOV
COPULAE 54 2.4.1 CONSISTENT MARKOV PROCESSES 55 BIBLIOGRAFISCHE
INFORMATIONEN HTTP://D-NB.INFO/1000753670 DIGITALISIERT DURCH X CONTENTS
2.4.2 MARKOV COPULAE: GENERATOR APPROACH 57 2.4.3 MARKOV COPULAE:
SYMBOLIC APPROACH 63 2.5 APPLICATIONS IN FINANCE 69 2.5.1 PRICING
RATING-TRIGGERED STEP-UP BONDS VIA SIMULATION . 70 2.5.2 MODEL
CALIBRATION AND PRICING 72 REFERENCES 75 3 COPULA ESTIMATION 77 BARBARA
CHOROS, RUSTAM IBRAGIMOV AND ELENA PERMIAKOVA 3.1 INTRODUCTION 77 3.2
COPULA ESTIMATION: RANDOM SAMPLES WITH DEPENDENT MARGINALS . 78 3.2.1
PARAMETRIC MODELS: MAXIMUM LIKELIHOOD METHODS AND INFERENCE FROM
LIKELIHOODS FOR MARGINS 78 3.2.2 SEMIPARAMETRIC ESTIMATION 80 3.2.3
NONPARAMETRIC INFERENCE AND EMPIRICAL COPULA PROCESSES 81 3.3
COPULA-BASED TIME SERIES AND THEIR ESTIMATION 82 3.3.1 COPULA-BASED
CHARACTERIZATIONS FOR (HIGHER-ORDER) MARKOV PROCESSES 82 3.3.2
PARAMETRIC AND SEMIPARAMETRIC COPULA ESTIMATION METHODS FOR MARKOV
PROCESSES 83 3.3.3 NONPARAMETRIC COPULA INFERENCE FOR TIME SERIES 84
3.3.4 DEPENDENCE PROPERTIES OF COPULA-BASED TIME SERIES . 85 3.4
FURTHER COPULA INFERENCE METHODS 86 3.5 EMPIRICAL APPLICATIONS 87
REFERENCES 89 4 PAIR-COPULA CONSTRUCTIONS OF MULTIVARIATE COPULAS 93
CLAUDIA CZADO 4.1 INTRODUCTION 93 4.2 PAIR COPULA CONSTRUCTIONS OF
D-VINE, CANONICAL AND REGULAR VINE DISTRIBUTIONS 94 4.2.1 PAIR-COPULA
CONSTRUCTIONS OF D-VINE AND CANONICAL VINE DISTRIBUTIONS 94 4.2.2
REGULAR VINES DISTRIBUTIONS AND COPULAS 96 4. CONTENTS XI 5.2.2
APPLICATION 2: SUPERMODULAR FUNCTIONS 119 5.3 THE CALCULATION OF THE
DISTRIBUTION OF THE SUM OF RISKS 120 5.3.1 OPEN PROBLEMS 124 REFERENCES
125 6 EXTREME-VALUE COPULAS 127 GORDON GUDENDORF AND JOHAN SEGERS 6.1
INTRODUCTION 127 6.2 FOUNDATIONS 128 6.3 PARAMETRIC MODELS 131 6.3.1
LOGISTIC MODEL OR GUMBEL-HOUGAARD COPULA 132 6.3.2 NEGATIVE LOGISTIC
MODEL OR GALAMBOS COPULA 132 6.3.3 HUESLER-REISS MODEL 133 6.3.4 THE T-EV
COPULA 134 6.4 DEPENDENCE COEFFICIENTS 134 6.5 ESTIMATION 136 6.5.1
PARAMETRIC ESTIMATION 137 6.5.2 NONPARAMETRIC ESTIMATION 138 6.6 FURTHER
READING 140 REFERENCES 141 7 CONSTRUCTION AND SAMPLING OF NESTED
ARCHIMEDEAN COPULAS 147 MARIUS HOFERT 7.1 INTRODUCTION 147 7.2 NESTED
ARCHIMEDEAN COPULAS 149 7.3 A SUFFICIENT NESTING CONDITION 151 7.4
CONSTRUCTION OF NESTED ARCHIMEDEAN COPULAS 153 7.5 SAMPLING NESTED
ARCHIMEDEAN COPULAS 155 7.6 CONCLUSION 159 REFERENCES 159 8 TAIL
BEHAVIOUR OF COPULAS 161 PIOTR JAWORSKI 8.1 INTRODUCTION 161 8.2 TAIL
EXPANSIONS OF COPULAS 163 8.2.1 CHARACTERIZATION AND PROPERTIES OF
LEADING PARTS 167 8.2.2 RELATIVELY INVARIANT MEASURES ON [0,)" 168 8.3
EXAMPLES OF TAIL EXPANSIONS 169 8.3.1 HOMOGENEOUS COPULAS 169 8.3. XII
CONTENTS 8.4.3 REGULARLY VARYING RANDOM VECTORS WITH A GIVEN COPULA 181
8.4.4 VALUE ATRISK ! 182 REFERENCES 185 9 COPULAE IN RELIABILITY THEORY
(ORDER STATISTICS, COHERENT SYSTEMS) . 187 TOMASZ RYCHLIK 9.1 COHERENT
SYSTEMS 187 9.2 SIGNATURES 189 9.2.1 COMPONENTS WITH I.I.D. LIFETIMES
189 9.2.2 MIXED SYSTEMS 190 9.2.3 COMPONENTS WITH EXCHANGEABLE LIFETIMES
192 9.3 BOUNDS FOR EXCHANGEABLE LIFETIME COMPONENTS 194 9.3.1
DISTRIBUTION BOUNDS 194 9.3.2 EXPECTATION BOUNDS 196 9.4
CHARACTERIZATIONS OF JT-OUT-OF- SYSTEM LIFETIME DISTRIBUTIONS . 198
9.4.1 GENERAL COPULA JOINT DISTRIBUTION 199 9.4.2 ABSOLUTE CONTINUOUS
COPULA JOINT DISTRIBUTION 200 9.4.3 VARIANCE BOUNDS 203 9.5 FINAL
REMARKS 205 REFERENCES 206 10 COPULA-BASED MEASURES OF MULTIVARIATE
ASSOCIATION 209 FRIEDRICH SCHMID, RAFAEL SCHMIDT, THOMAS BLUMENTRITT,
SANDRA GAISSER AND MARTIN RUPPERT 10.1 INTRODUCTION AND DEFINITIONS 209
10.2 ASPECTS OF MULTIVARIATE ASSOCIATION 212 10.3 MULTIVARIATE
GENERALIZATIONS OF SPEARMAN'S RHO, KENDALL'S TAU, BLOMQVIST'S BETA, AND
GINI'S GAMMA 215 10.3.1 SPEARMAN'S RHO 215 10.3.2 KENDALL'S TAU 217
10.3.3 BLOMQVIST'S BETA 219 10.3.4 GINI'S GAMMA 220 10.4
INFORMATION-BASED MEASURES OF MULTIVARIATE ASSOCIATION 221 10.5 MEASURES
OF MULTIVARIATE ASSOCIATION BASED ON L^-DISTANCES 224 10.5. CONTENTS
XIII 11.3 DEPENDENCE AND UNIVARIATE AGEING IN SCHUR-CONSTANT MODELS .
243 11.4 LEVEL CURVES, B FUNCTIONS, DUALITY, AND INTERPRETATION OF
COINCIDENCE BETWEEN AGEING AND DEPENDENCE 247 11.5 SUMMARY AND
CONCLUDING REMARKS 251 REFERENCES 252 PARTII CONTRIBUTED PAPERS 12 A
COPULA-BASED MODEL FOR SPATIAL AND TEMPORAL DEPENDENCE OF EQUITY MARKETS
257 UMBERTO CHERUBINI, FABIO GOBBI, SABRINA MULINACCI AND SILVIA
ROMAGNOLI 12.1 INTRODUCTION 257 12.2 A MARKET MODEL IN DISCRETE TIME 258
12.3 THE MARTINGALE PROPERTY 259 12.4 APPLICATIONS 261 12.4.1
MULTIVARIATE DIGITAL OPTIONS 261 12.4.2 BASKET AND SPREAD OPTIONS 263
REFERENCES 264 13 NONPARAMETRIC AND SEMIPARAMETRIC BIVARIATE MODELING OF
PETROPHYSICAL POROSITY-PERMEABILITY DEPENDENCE FROM WELL LOG DATA 267
ARTURO ERDELY AND MARTIN DIAZ-VIERA 13.1 INTRODUCTION 267 13.2
METHODOLOGY 268 13.3 DATA ANALYSIS 271 13.4 FINAL REMARKS 276 REFERENCES
278 14 TESTING UNDER THE EXTENDED KOZIOL-GREEN MODEL 279 AUGUSTE GADDAH
AND ROEL BRAEKERS 14.1 INTRODUCTION 279 14.2 ASYMPTOTIC RESULTS 282 14.3
TEST STATISTICS 285 14.4 DATA EXAMPLE: SURVIVAL WITH MALIGNANT MELANOMA
286 REFERENCES 288 15 PARAMETER ESTIMATION AND APPLICATION OF THE
MULTIVARIATE SKEW I-COPUL XIV CONTENTS 15.6 APPLICATION 296 REFERENCES
298 16 ON ANALYTICAL SIMILARITIES OF ARCHIMEDEAN AND EXCHANGEABLE
MARSHALL-OLKIN COPULAS 299 JAN-FREDERIK MAI AND MATTHIAS SCHERER 16.1
INTRODUCTION 299 16.2 COMPLETE MONOTONICITY AND D-MONOTONICITY 301
16.2.1 DEFINITIONS AND EXAMPLES 301 16.2.2 PROBABILISTIC INTERPRETATIONS
302 16.2.3 D-MONOTONICITY 303 16.3 PROBABILISTIC MODELS AND SAMPLING 305
16.3.1 THE COMPLETELY MONOTONE CASE 305 16.3.2 THE PROPER D-MONOTONE
CASE 306 REFERENCES 308 17 RELATIONSHIPS BETWEEN ARCHIMEDEAN COPULAS AND
MORGENSTERN UTILITY FUNCTIONS 311 JAAP SPREEUW 17.1 INTRODUCTION 311
17.2 ARCHIMEDEAN COPULAS 312 17.3 UTILITY FUNCTIONS 312 17.4
RELATIONSHIPS BETWEEN PROPERTIES OF UTILITY FUNCTIONS AND PROPERTIES OF
GENERATORS 315 17.5 EXAMPLES 318 17.5.1 CLASSICAL CASES 318 17.5.2 THE
HARA FAMILY 319 17.5.3 THE EXPO POWER UTILITY 319 17.5.4 OTHER EXAMPLES
OF DECREASING ABSOLUTE RISK AVERSION (DARA) AS IN PRATT [9] 319 17.6
CONCLUSION 321 REFERENCES 321 INDEX 323 |
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| spelling | Copula theory and its applications proceedings of the workshop held in Warsaw, 25 - 26 September 2009 Piotr Jaworski ... ed. Berlin [u.a.] Springer 2010 XVIII, 327 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Lecture notes in statistics 198 : Proceedings Warschau 2009 gnd rswk-swf Kopula Mathematik (DE-588)4529954-7 gnd rswk-swf (DE-588)1071861417 Konferenzschrift 2009 Warschau gnd-content Kopula Mathematik (DE-588)4529954-7 s Warschau 2009 z 1\p DE-604 Jaworski, Piotr (DE-588)103680063 edt Erscheint auch als Online-Ausgabe 978-3-642-12465-5 Lecture notes in statistics 198 : Proceedings (DE-604)BV002447846 198 text/html http://deposit.dnb.de/cgi-bin/dokserv?id=3439854&prov=M&dok_var=1&dok_ext=htm Inhaltstext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020542628&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Copula theory and its applications proceedings of the workshop held in Warsaw, 25 - 26 September 2009 Lecture notes in statistics Kopula Mathematik (DE-588)4529954-7 gnd |
| subject_GND | (DE-588)4529954-7 (DE-588)1071861417 |
| title | Copula theory and its applications proceedings of the workshop held in Warsaw, 25 - 26 September 2009 |
| title_auth | Copula theory and its applications proceedings of the workshop held in Warsaw, 25 - 26 September 2009 |
| title_exact_search | Copula theory and its applications proceedings of the workshop held in Warsaw, 25 - 26 September 2009 |
| title_full | Copula theory and its applications proceedings of the workshop held in Warsaw, 25 - 26 September 2009 Piotr Jaworski ... ed. |
| title_fullStr | Copula theory and its applications proceedings of the workshop held in Warsaw, 25 - 26 September 2009 Piotr Jaworski ... ed. |
| title_full_unstemmed | Copula theory and its applications proceedings of the workshop held in Warsaw, 25 - 26 September 2009 Piotr Jaworski ... ed. |
| title_short | Copula theory and its applications |
| title_sort | copula theory and its applications proceedings of the workshop held in warsaw 25 26 september 2009 |
| title_sub | proceedings of the workshop held in Warsaw, 25 - 26 September 2009 |
| topic | Kopula Mathematik (DE-588)4529954-7 gnd |
| topic_facet | Kopula Mathematik Konferenzschrift 2009 Warschau |
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