Analyzing Dependent Data With Vine Copulas

Author : Claudia Czado
Publisher : Springer
Page : 242 pages
File Size : 54,7 Mb
Release : 2019-05-14
Category : Mathematics
ISBN : 9783030137854

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Analyzing Dependent Data with Vine Copulas by Claudia Czado Pdf

This textbook provides a step-by-step introduction to the class of vine copulas, their statistical inference and applications. It focuses on statistical estimation and selection methods for vine copulas in data applications. These flexible copula models can successfully accommodate any form of tail dependence and are vital to many applications in finance, insurance, hydrology, marketing, engineering, chemistry, aviation, climatology and health. The book explains the pair-copula construction principles underlying these statistical models and discusses how to perform model selection and inference. It also derives simulation algorithms and presents real-world examples to illustrate the methodological concepts. The book includes numerous exercises that facilitate and deepen readers’ understanding, and demonstrates how the R package VineCopula can be used to explore and build statistical dependence models from scratch. In closing, the book provides insights into recent developments and open research questions in vine copula based modeling. The book is intended for students as well as statisticians, data analysts and any other quantitatively oriented researchers who are new to the field of vine copulas. Accordingly, it provides the necessary background in multivariate statistics and copula theory for exploratory data tools, so that readers only need a basic grasp of statistics and probability.

Author : Harry Joe
Publisher : CRC Press
Page : 479 pages
File Size : 47,5 Mb
Release : 2014-06-26
Category : Mathematics
ISBN : 9781466583238

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Dependence Modeling with Copulas by Harry Joe Pdf

Dependence Modeling with Copulas covers the substantial advances that have taken place in the field during the last 15 years, including vine copula modeling of high-dimensional data. Vine copula models are constructed from a sequence of bivariate copulas. The book develops generalizations of vine copula models, including common and structured facto

Author : Christos H. Skiadas,James R. Bozeman
Publisher : John Wiley & Sons
Page : 208 pages
File Size : 48,5 Mb
Release : 2019-03-07
Category : Mathematics
ISBN : 9781119579533

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Data Analysis and Applications 2 by Christos H. Skiadas,James R. Bozeman Pdf

This series of books collects a diverse array of work that provides the reader with theoretical and applied information on data analysis methods, models and techniques, along with appropriate applications. Volume 2 begins with an introductory chapter by Gilbert Saporta, a leading expert in the field, who summarizes the developments in data analysis over the last 50 years. The book is then divided into four parts: Part 1 examines (in)dependence relationships, innovation in the Nordic countries, dentistry journals, dependence among growth rates of GDP of V4 countries, emissions mitigation, and five-star ratings; Part 2 investigates access to credit for SMEs, gender-based impacts given Southern Europe’s economic crisis, and labor market transition probabilities; Part 3 looks at recruitment at university job-placement offices and the Program for International Student Assessment; and Part 4 examines discriminants, PageRank, and the political spectrum of Germany.

Author : Harry Joe,Dorota Kurowicka
Publisher : World Scientific
Page : 370 pages
File Size : 45,6 Mb
Release : 2011
Category : Business & Economics
ISBN : 9789814299886

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Dependence Modeling by Harry Joe,Dorota Kurowicka Pdf

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

Author : Kurowicka Dorota,Joe Harry
Publisher : World Scientific
Page : 368 pages
File Size : 41,5 Mb
Release : 2010-12-23
Category : Copulas (Mathematical statistics)
ISBN : 9789814465236

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Dependence Modeling: Vine Copula Handbook by Kurowicka Dorota,Joe Harry Pdf

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.

Author : Anonim
Publisher : Academic Press
Page : 494 pages
File Size : 42,8 Mb
Release : 2020-03-18
Category : Science
ISBN : 9780128211366

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Tropical Ecosystems in the 21st Century by Anonim Pdf

Advances in Ecological Research, Volume 62, the latest release in this ongoing series, covers a long list of topics, including Monitoring tropical insects in the 21st Century, The distribution and structure of long-term and large-scale fire manipulation experiments, The Agua Salud Project: Basic and applied research informing management of tropical landscapes for the 21st century, Conservation strategies and principles for tropical forests, Assessing forest quality using satellite remote sensing data: A test case using the Sabah Biodiversity Experiment, eDNA approaches to understand the current state and future of biodiversity of the Amazonian biome: pitfalls, improvements and challenges, and much more. Provides information that relates to a thorough understanding of the field of ecology Deals with topical and important reviews on the physiologies, populations and communities of plants and animals

Author : Piotr Jaworski,Fabrizio Durante,Wolfgang Karl Härdle,Tomasz Rychlik
Publisher : Springer Science & Business Media
Page : 338 pages
File Size : 41,8 Mb
Release : 2010-07-16
Category : Mathematics
ISBN : 9783642124655

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Copula Theory and Its Applications by Piotr Jaworski,Fabrizio Durante,Wolfgang Karl Härdle,Tomasz Rychlik Pdf

Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Since their introduction in the early 50's, copulas have gained considerable popularity in several fields of applied mathematics, such as finance, insurance and reliability theory. Today, they represent a well-recognized tool for market and credit models, aggregation of risks, portfolio selection, etc. This book is divided into two main parts: Part I - "Surveys" contains 11 chapters that provide an up-to-date account of essential aspects of copula models. Part II - "Contributions" collects the extended versions of 6 talks selected from papers presented at the workshop in Warsaw.

Author : Marco Corazza,Cira Perna,Claudio Pizzi,Marilena Sibillo
Publisher : Springer Nature
Page : 456 pages
File Size : 54,8 Mb
Release : 2022-04-11
Category : Mathematics
ISBN : 9783030996383

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Mathematical and Statistical Methods for Actuarial Sciences and Finance by Marco Corazza,Cira Perna,Claudio Pizzi,Marilena Sibillo Pdf

The cooperation and contamination among mathematicians, statisticians and econometricians working in actuarial sciences and finance are improving the research on these topics and producing numerous meaningful scientific results. This volume presents new ideas in the form of four- to six-page papers presented at the International Conference MAF2022 – Mathematical and Statistical Methods for Actuarial Sciences and Finance. Due to the COVID-19 pandemic, the conference, to which this book is related, was organized in a hybrid form by the Department of Economics and Statistics of the University of Salerno, with the partnership of the Department of Economics of Cà Foscari University of Venice, and was held from 20 to 22 April 2022 in Salerno (Italy) MAF2022 is the tenth edition of an international biennial series of scientific meetings, started in 2004 on the initiative of the Department of Economics and Statistics of the University of Salerno. It has established itself internationally with gradual and continuous growth and scientific enrichment. The effectiveness of this idea has been proven by the wide participation in all the editions, which have been held in Salerno (2004, 2006, 2010, 2014, 2022), Venice (2008, 2012 and 2020 online), Paris (2016) and Madrid (2018). This book covers a wide variety of subjects: artificial intelligence and machine learning in finance and insurance, behavioural finance, credit risk methods and models, dynamic optimization in finance, financial data analytics, forecasting dynamics of actuarial and financial phenomena, foreign exchange markets, insurance models, interest rate models, longevity risk, models and methods for financial time series analysis, multivariate techniques for financial markets analysis, pension systems, portfolio selection and management, real-world finance, risk analysis and management, trading systems, and others. This volume is a valuable resource for academics, PhD students, practitioners, professionals and researchers. Moreover, it is also of interest to other readers with quantitative background knowledge.

Author : Indranil Ghosh,N. Balakrishnan,Hon Keung Tony Ng
Publisher : Springer Nature
Page : 443 pages
File Size : 42,8 Mb
Release : 2021-04-01
Category : Mathematics
ISBN : 9783030629007

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Advances in Statistics - Theory and Applications by Indranil Ghosh,N. Balakrishnan,Hon Keung Tony Ng Pdf

This edited collection brings together internationally recognized experts in a range of areas of statistical science to honor the contributions of the distinguished statistician, Barry C. Arnold. A pioneering scholar and professor of statistics at the University of California, Riverside, Dr. Arnold has made exceptional advancements in different areas of probability, statistics, and biostatistics, especially in the areas of distribution theory, order statistics, and statistical inference. As a tribute to his work, this book presents novel developments in the field, as well as practical applications and potential future directions in research and industry. It will be of interest to graduate students and researchers in probability, statistics, and biostatistics, as well as practitioners and technicians in the social sciences, economics, engineering, and medical sciences.

Author : Reinout Heijungs
Publisher : Springer Nature
Page : 1159 pages
File Size : 43,6 Mb
Release : 2024-06-29
Category : Electronic
ISBN : 9783031493171

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Probability, Statistics and Life Cycle Assessment by Reinout Heijungs Pdf

Author : Fateh Chebana
Publisher : Elsevier
Page : 222 pages
File Size : 44,7 Mb
Release : 2022-11-16
Category : Science
ISBN : 9780323959070

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Multivariate Frequency Analysis of Hydro-Meteorological Variables by Fateh Chebana Pdf

Multivariate Frequency Analysis of Hydro-Meteorological Variables: A Copula-Based Approach provides comprehensive and detailed descriptions of the approaches and techniques used in multivariate frequency analysis (including, but not limited to copula functions), with illustrative examples and real-life case studies provided. The book presents all background material and new developments in one place, presenting the material in a homogeneous and pedagogical way in order to allow students, engineers and researchers to access and efficiently use all information surrounding this topic. This reference can be used as a guide to apply the available and recent approaches to evaluate hydro-meteorological risks, to design hydraulic structures, in teaching (faculty members), and as a literature review to go to the next steps in research projects (graduate students and postdocs). Presents methods for analysis of hydro-meteorological risks followed by illustrative examples based on real life data sets Provides definitions throughout on all new topics and key terms Includes case studies and real-life examples covering a variety of situations and showing how this work can be applied in the reader’s own work

Author : Dorota Kurowicka,Roger M. Cooke
Publisher : John Wiley & Sons
Page : 302 pages
File Size : 47,5 Mb
Release : 2006-10-02
Category : Mathematics
ISBN : 9780470863084

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Uncertainty Analysis with High Dimensional Dependence Modelling by Dorota Kurowicka,Roger M. Cooke Pdf

Mathematical models are used to simulate complex real-world phenomena in many areas of science and technology. Large complex models typically require inputs whose values are not known with certainty. Uncertainty analysis aims to quantify the overall uncertainty within a model, in order to support problem owners in model-based decision-making. In recent years there has been an explosion of interest in uncertainty analysis. Uncertainty and dependence elicitation, dependence modelling, model inference, efficient sampling, screening and sensitivity analysis, and probabilistic inversion are among the active research areas. This text provides both the mathematical foundations and practical applications in this rapidly expanding area, including: An up-to-date, comprehensive overview of the foundations and applications of uncertainty analysis. All the key topics, including uncertainty elicitation, dependence modelling, sensitivity analysis and probabilistic inversion. Numerous worked examples and applications. Workbook problems, enabling use for teaching. Software support for the examples, using UNICORN - a Windows-based uncertainty modelling package developed by the authors. A website featuring a version of the UNICORN software tailored specifically for the book, as well as computer programs and data sets to support the examples. Uncertainty Analysis with High Dimensional Dependence Modelling offers a comprehensive exploration of a new emerging field. It will prove an invaluable text for researches, practitioners and graduate students in areas ranging from statistics and engineering to reliability and environmetrics.

Author : Harry Joe
Publisher : CRC Press
Page : 422 pages
File Size : 44,9 Mb
Release : 1997-05-01
Category : Mathematics
ISBN : 0412073315

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Multivariate Models and Multivariate Dependence Concepts by Harry Joe Pdf

This book on multivariate models, statistical inference, and data analysis contains deep coverage of multivariate non-normal distributions for modeling of binary, count, ordinal, and extreme value response data. It is virtually self-contained, and includes many exercises and unsolved problems.

Author : Michael Dee Taylor
Publisher : IMS
Page : 390 pages
File Size : 44,8 Mb
Release : 1996
Category : Mathematics
ISBN : 0940600404

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Distributions with Fixed Marginals and Related Topics by Michael Dee Taylor Pdf

Author : Marius Hofert,Ivan Kojadinovic,Martin Mächler,Jun Yan
Publisher : Springer
Page : 267 pages
File Size : 44,8 Mb
Release : 2019-01-09
Category : Business & Economics
ISBN : 9783319896359

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Elements of Copula Modeling with R by Marius Hofert,Ivan Kojadinovic,Martin Mächler,Jun Yan Pdf

This book introduces the main theoretical findings related to copulas and shows how statistical modeling of multivariate continuous distributions using copulas can be carried out in the R statistical environment with the package copula (among others). Copulas are multivariate distribution functions with standard uniform univariate margins. They are increasingly applied to modeling dependence among random variables in fields such as risk management, actuarial science, insurance, finance, engineering, hydrology, climatology, and meteorology, to name a few. In the spirit of the Use R! series, each chapter combines key theoretical definitions or results with illustrations in R. Aimed at statisticians, actuaries, risk managers, engineers and environmental scientists wanting to learn about the theory and practice of copula modeling using R without an overwhelming amount of mathematics, the book can also be used for teaching a course on copula modeling.