Dependence modeling :: vine copula handbook /
This book is a collaborative effort from three workshops held over the last three years, all involving principal contributors to the vine-copula methodology. Research and applications in vines have been growing rapidly and there is now a growing need to collate basic results, and standardize termino...
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| Weitere Verfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Singapore ; Hackensack, NJ :
World Scientific Pub.,
©2011.
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | This book is a collaborative effort from three workshops held over the last three years, all involving principal contributors to the vine-copula methodology. Research and applications in vines have been growing rapidly and there is now a growing need to collate basic results, and standardize terminology and methods. Specifically, this handbook will (1) trace historical developments, standardizing notation and terminology, (2) summarize results on bivariate copulae, (3) summarize results for regular vines, and (4) give an overview of its applications. In addition, many of these results are new and not readily available in any existing journals. New research directions are also discussed. |
| Beschreibung: | 1 online resource (viii, 360 pages) : illustrations |
| Bibliographie: | Includes bibliographical references and index. |
| ISBN: | 9789814299886 981429988X |
Internformat
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| 505 | 0 | |a 1. Introduction : Dependence modeling / D. Kurowicka -- 2. Multivariate copulae / M. Fischer -- 3. Vines arise / R.M. Cooke, H. Joe and K. Aas -- 4. Sampling count variables with specified Pearson correlation : A comparison between a naive and a C-vine sampling approach / V. Erhardt and C. Czado -- 5. Micro correlations and tail dependence / R.M. Cooke, C. Kousky and H. Joe -- 6. The Copula information criterion and Its implications for the maximum pseudo-likelihood estimator / S. Gronneberg -- 7. Dependence comparisons of vine copulae with four or more variables / H. Joe -- 8. Tail dependence in vine copulae / H. Joe -- 9. Counting vines / O. Morales-Napoles -- 10. Regular vines : Generation algorithm and number of equivalence classes / H. Joe, R.M. Cooke and D. Kurowicka -- 11. Optimal truncation of vines / D. Kurowicka -- 12. Bayesian inference for D-vines : Estimation and model selection / C. Czado and A. Min -- 13. Analysis of Australian electricity loads using joint Bayesian inference of D-vines with autoregressive margins / C. Czado, F. Gartner and A. Min -- 14. Non-parametric Bayesian belief nets versus vines / A. Hanea -- 15. Modeling dependence between financial returns using pair-copula constructions / K. Aas and D. Berg -- 16. Dynamic D-vine model / A. Heinen and A. Valdesogo -- 17. Summary and future directions / D. Kurowicka. | |
| 520 | |a This book is a collaborative effort from three workshops held over the last three years, all involving principal contributors to the vine-copula methodology. Research and applications in vines have been growing rapidly and there is now a growing need to collate basic results, and standardize terminology and methods. Specifically, this handbook will (1) trace historical developments, standardizing notation and terminology, (2) summarize results on bivariate copulae, (3) summarize results for regular vines, and (4) give an overview of its applications. In addition, many of these results are new and not readily available in any existing journals. New research directions are also discussed. | ||
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| contents | 1. Introduction : Dependence modeling / D. Kurowicka -- 2. Multivariate copulae / M. Fischer -- 3. Vines arise / R.M. Cooke, H. Joe and K. Aas -- 4. Sampling count variables with specified Pearson correlation : A comparison between a naive and a C-vine sampling approach / V. Erhardt and C. Czado -- 5. Micro correlations and tail dependence / R.M. Cooke, C. Kousky and H. Joe -- 6. The Copula information criterion and Its implications for the maximum pseudo-likelihood estimator / S. Gronneberg -- 7. Dependence comparisons of vine copulae with four or more variables / H. Joe -- 8. Tail dependence in vine copulae / H. Joe -- 9. Counting vines / O. Morales-Napoles -- 10. Regular vines : Generation algorithm and number of equivalence classes / H. Joe, R.M. Cooke and D. Kurowicka -- 11. Optimal truncation of vines / D. Kurowicka -- 12. Bayesian inference for D-vines : Estimation and model selection / C. Czado and A. Min -- 13. Analysis of Australian electricity loads using joint Bayesian inference of D-vines with autoregressive margins / C. Czado, F. Gartner and A. Min -- 14. Non-parametric Bayesian belief nets versus vines / A. Hanea -- 15. Modeling dependence between financial returns using pair-copula constructions / K. Aas and D. Berg -- 16. Dynamic D-vine model / A. Heinen and A. Valdesogo -- 17. Summary and future directions / D. Kurowicka. |
| ctrlnum | (OCoLC)741778618 |
| dewey-full | 519.5 |
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| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.5 |
| dewey-search | 519.5 |
| dewey-sort | 3519.5 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| format | Electronic eBook |
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| illustrated | Illustrated |
| indexdate | 2024-11-27T13:17:55Z |
| institution | BVB |
| isbn | 9789814299886 981429988X |
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| spelling | Dependence modeling : vine copula handbook / editors, Dorota Kurowicka, Harry Joe. Singapore ; Hackensack, NJ : World Scientific Pub., ©2011. 1 online resource (viii, 360 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier Includes bibliographical references and index. Print version record. 1. Introduction : Dependence modeling / D. Kurowicka -- 2. Multivariate copulae / M. Fischer -- 3. Vines arise / R.M. Cooke, H. Joe and K. Aas -- 4. Sampling count variables with specified Pearson correlation : A comparison between a naive and a C-vine sampling approach / V. Erhardt and C. Czado -- 5. Micro correlations and tail dependence / R.M. Cooke, C. Kousky and H. Joe -- 6. The Copula information criterion and Its implications for the maximum pseudo-likelihood estimator / S. Gronneberg -- 7. Dependence comparisons of vine copulae with four or more variables / H. Joe -- 8. Tail dependence in vine copulae / H. Joe -- 9. Counting vines / O. Morales-Napoles -- 10. Regular vines : Generation algorithm and number of equivalence classes / H. Joe, R.M. Cooke and D. Kurowicka -- 11. Optimal truncation of vines / D. Kurowicka -- 12. Bayesian inference for D-vines : Estimation and model selection / C. Czado and A. Min -- 13. Analysis of Australian electricity loads using joint Bayesian inference of D-vines with autoregressive margins / C. Czado, F. Gartner and A. Min -- 14. Non-parametric Bayesian belief nets versus vines / A. Hanea -- 15. Modeling dependence between financial returns using pair-copula constructions / K. Aas and D. Berg -- 16. Dynamic D-vine model / A. Heinen and A. Valdesogo -- 17. Summary and future directions / D. Kurowicka. This book is a collaborative effort from three workshops held over the last three years, all involving principal contributors to the vine-copula methodology. Research and applications in vines have been growing rapidly and there is now a growing need to collate basic results, and standardize terminology and methods. Specifically, this handbook will (1) trace historical developments, standardizing notation and terminology, (2) summarize results on bivariate copulae, (3) summarize results for regular vines, and (4) give an overview of its applications. In addition, many of these results are new and not readily available in any existing journals. New research directions are also discussed. Copulas (Mathematical statistics) http://id.loc.gov/authorities/subjects/sh98005244 Copules (Statistique mathématique) MATHEMATICS Probability & Statistics General. bisacsh Copulas (Mathematical statistics) fast Kurowicka, Dorota, 1967- edt https://id.oclc.org/worldcat/entity/E39PCjwGMrjjXcdV9C48YJrXMK http://id.loc.gov/authorities/names/no2002040091 Joe, Harry. edt http://id.loc.gov/authorities/names/nb97043784 has work: Dependence modeling (Text) https://id.oclc.org/worldcat/entity/E39PCFrQGwg8gK7q9XhvRMw8cq https://id.oclc.org/worldcat/ontology/hasWork Print version: Dependence modeling. Singapore ; Hackensack, NJ : World Scientific Publishing, ©2011 9789814299879 (OCoLC)711870622 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=374782 Volltext |
| spellingShingle | Dependence modeling : vine copula handbook / 1. Introduction : Dependence modeling / D. Kurowicka -- 2. Multivariate copulae / M. Fischer -- 3. Vines arise / R.M. Cooke, H. Joe and K. Aas -- 4. Sampling count variables with specified Pearson correlation : A comparison between a naive and a C-vine sampling approach / V. Erhardt and C. Czado -- 5. Micro correlations and tail dependence / R.M. Cooke, C. Kousky and H. Joe -- 6. The Copula information criterion and Its implications for the maximum pseudo-likelihood estimator / S. Gronneberg -- 7. Dependence comparisons of vine copulae with four or more variables / H. Joe -- 8. Tail dependence in vine copulae / H. Joe -- 9. Counting vines / O. Morales-Napoles -- 10. Regular vines : Generation algorithm and number of equivalence classes / H. Joe, R.M. Cooke and D. Kurowicka -- 11. Optimal truncation of vines / D. Kurowicka -- 12. Bayesian inference for D-vines : Estimation and model selection / C. Czado and A. Min -- 13. Analysis of Australian electricity loads using joint Bayesian inference of D-vines with autoregressive margins / C. Czado, F. Gartner and A. Min -- 14. Non-parametric Bayesian belief nets versus vines / A. Hanea -- 15. Modeling dependence between financial returns using pair-copula constructions / K. Aas and D. Berg -- 16. Dynamic D-vine model / A. Heinen and A. Valdesogo -- 17. Summary and future directions / D. Kurowicka. Copulas (Mathematical statistics) http://id.loc.gov/authorities/subjects/sh98005244 Copules (Statistique mathématique) MATHEMATICS Probability & Statistics General. bisacsh Copulas (Mathematical statistics) fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh98005244 |
| title | Dependence modeling : vine copula handbook / |
| title_auth | Dependence modeling : vine copula handbook / |
| title_exact_search | Dependence modeling : vine copula handbook / |
| title_full | Dependence modeling : vine copula handbook / editors, Dorota Kurowicka, Harry Joe. |
| title_fullStr | Dependence modeling : vine copula handbook / editors, Dorota Kurowicka, Harry Joe. |
| title_full_unstemmed | Dependence modeling : vine copula handbook / editors, Dorota Kurowicka, Harry Joe. |
| title_short | Dependence modeling : |
| title_sort | dependence modeling vine copula handbook |
| title_sub | vine copula handbook / |
| topic | Copulas (Mathematical statistics) http://id.loc.gov/authorities/subjects/sh98005244 Copules (Statistique mathématique) MATHEMATICS Probability & Statistics General. bisacsh Copulas (Mathematical statistics) fast |
| topic_facet | Copulas (Mathematical statistics) Copules (Statistique mathématique) MATHEMATICS Probability & Statistics General. |
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