Dependence Modeling

Author : Harry Joe,Dorota Kurowicka
Publisher : World Scientific
Page : 370 pages
File Size : 49,6 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 : Harry Joe
Publisher : CRC Press
Page : 483 pages
File Size : 47,8 Mb
Release : 2014-06-26
Category : Mathematics
ISBN : 9781466583221

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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 factor models that extend from the Gaussian assumption to copulas. It also discusses other multivariate constructions and parametric copula families that have different tail properties and presents extensive material on dependence and tail properties to assist in copula model selection. The author shows how numerical methods and algorithms for inference and simulation are important in high-dimensional copula applications. He presents the algorithms as pseudocode, illustrating their implementation for high-dimensional copula models. He also incorporates results to determine dependence and tail properties of multivariate distributions for future constructions of copula models.

Author : Harry Joe
Publisher : CRC Press
Page : 479 pages
File Size : 52,5 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 : Manuel Úbeda Flores,Enrique de Amo Artero,Fabrizio Durante,Juan Fernández Sánchez
Publisher : Springer
Page : 258 pages
File Size : 45,7 Mb
Release : 2017-10-13
Category : Mathematics
ISBN : 9783319642215

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Copulas and Dependence Models with Applications by Manuel Úbeda Flores,Enrique de Amo Artero,Fabrizio Durante,Juan Fernández Sánchez Pdf

This book presents contributions and review articles on the theory of copulas and their applications. The authoritative and refereed contributions review the latest findings in the area with emphasis on “classical” topics like distributions with fixed marginals, measures of association, construction of copulas with given additional information, etc. The book celebrates the 75th birthday of Professor Roger B. Nelsen and his outstanding contribution to the development of copula theory. Most of the book’s contributions were presented at the conference “Copulas and Their Applications” held in his honor in Almería, Spain, July 3-5, 2017. The chapter 'When Gumbel met Galambos' is published open access under a CC BY 4.0 license.

Author : Van-Nam Huynh,Vladik Kreinovich,Songsak Sriboonchitta
Publisher : Springer Science & Business Media
Page : 575 pages
File Size : 44,5 Mb
Release : 2013-11-18
Category : Technology & Engineering
ISBN : 9783319033952

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Modeling Dependence in Econometrics by Van-Nam Huynh,Vladik Kreinovich,Songsak Sriboonchitta Pdf

In economics, many quantities are related to each other. Such economic relations are often much more complex than relations in science and engineering, where some quantities are independence and the relation between others can be well approximated by linear functions. As a result of this complexity, when we apply traditional statistical techniques - developed for science and engineering - to process economic data, the inadequate treatment of dependence leads to misleading models and erroneous predictions. Some economists even blamed such inadequate treatment of dependence for the 2008 financial crisis. To make economic models more adequate, we need more accurate techniques for describing dependence. Such techniques are currently being developed. This book contains description of state-of-the-art techniques for modeling dependence and economic applications of these techniques. Most of these research developments are centered around the notion of a copula - a general way of describing dependence in probability theory and statistics. To be even more adequate, many papers go beyond traditional copula techniques and take into account, e.g., the dynamical (changing) character of the dependence in economics.

Author : Wolfgang Wiedermann,Daeyoung Kim,Engin A. Sungur,Alexander von Eye
Publisher : John Wiley & Sons
Page : 432 pages
File Size : 47,9 Mb
Release : 2020-11-24
Category : Mathematics
ISBN : 9781119523147

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Direction Dependence in Statistical Modeling by Wolfgang Wiedermann,Daeyoung Kim,Engin A. Sungur,Alexander von Eye Pdf

Covers the latest developments in direction dependence research Direction Dependence in Statistical Modeling: Methods of Analysis incorporates the latest research for the statistical analysis of hypotheses that are compatible with the causal direction of dependence of variable relations. Having particular application in the fields of neuroscience, clinical psychology, developmental psychology, educational psychology, and epidemiology, direction dependence methods have attracted growing attention due to their potential to help decide which of two competing statistical models is more likely to reflect the correct causal flow. The book covers several topics in-depth, including: A demonstration of the importance of methods for the analysis of direction dependence hypotheses A presentation of the development of methods for direction dependence analysis together with recent novel, unpublished software implementations A review of methods of direction dependence following the copula-based tradition of Sungur and Kim A presentation of extensions of direction dependence methods to the domain of categorical data An overview of algorithms for causal structure learning The book's fourteen chapters include a discussion of the use of custom dialogs and macros in SPSS to make direction dependence analysis accessible to empirical researchers.

Author : Neeraj Gupta,Anuradha Tomar,B Rajanarayan Prusty,Pankaj Gupta
Publisher : CRC Press
Page : 275 pages
File Size : 43,8 Mb
Release : 2022-03-24
Category : Technology & Engineering
ISBN : 9781000551440

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Renewable Energy Integration to the Grid by Neeraj Gupta,Anuradha Tomar,B Rajanarayan Prusty,Pankaj Gupta Pdf

Presents analysis and modeling of renewable generation uncertainty for planning and operation, beneficial for industry professionals and researchers. Discusses the dependence modeling of multi-site renewable generations in detail. Covers probabilistic analysis, useful for data analysts. Discusses various aspects of renewable energy integration i.e. technical, economic, etc. Covers correlation factors and methodologies are validated with case studies with various standard test systems.

Author : Marcelo G. Cruz,Gareth W. Peters,Pavel V. Shevchenko
Publisher : John Wiley & Sons
Page : 928 pages
File Size : 40,6 Mb
Release : 2015-01-29
Category : Mathematics
ISBN : 9781118573006

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Fundamental Aspects of Operational Risk and Insurance Analytics by Marcelo G. Cruz,Gareth W. Peters,Pavel V. Shevchenko Pdf

A one-stop guide for the theories, applications, and statistical methodologies essential to operational risk Providing a complete overview of operational risk modeling and relevant insurance analytics, Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk offers a systematic approach that covers the wide range of topics in this area. Written by a team of leading experts in the field, the handbook presents detailed coverage of the theories, applications, and models inherent in any discussion of the fundamentals of operational risk, with a primary focus on Basel II/III regulation, modeling dependence, estimation of risk models, and modeling the data elements. Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk begins with coverage on the four data elements used in operational risk framework as well as processing risk taxonomy. The book then goes further in-depth into the key topics in operational risk measurement and insurance, for example diverse methods to estimate frequency and severity models. Finally, the book ends with sections on specific topics, such as scenario analysis; multifactor modeling; and dependence modeling. A unique companion with Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk, the handbook also features: Discussions on internal loss data and key risk indicators, which are both fundamental for developing a risk-sensitive framework Guidelines for how operational risk can be inserted into a firm’s strategic decisions A model for stress tests of operational risk under the United States Comprehensive Capital Analysis and Review (CCAR) program A valuable reference for financial engineers, quantitative analysts, risk managers, and large-scale consultancy groups advising banks on their internal systems, the handbook is also useful for academics teaching postgraduate courses on the methodology of operational risk.

Author : Christoph Molnar
Publisher : Lulu.com
Page : 320 pages
File Size : 53,8 Mb
Release : 2020
Category : Artificial intelligence
ISBN : 9780244768522

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Interpretable Machine Learning by Christoph Molnar Pdf

This book is about making machine learning models and their decisions interpretable. After exploring the concepts of interpretability, you will learn about simple, interpretable models such as decision trees, decision rules and linear regression. Later chapters focus on general model-agnostic methods for interpreting black box models like feature importance and accumulated local effects and explaining individual predictions with Shapley values and LIME. All interpretation methods are explained in depth and discussed critically. How do they work under the hood? What are their strengths and weaknesses? How can their outputs be interpreted? This book will enable you to select and correctly apply the interpretation method that is most suitable for your machine learning project.

Author : Harry Joe
Publisher : CRC Press
Page : 422 pages
File Size : 48,8 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 : Dorota Kurowicka,Roger M. Cooke
Publisher : John Wiley & Sons
Page : 302 pages
File Size : 54,9 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 : Richard J Cook,Jerald F. Lawless
Publisher : CRC Press
Page : 440 pages
File Size : 47,9 Mb
Release : 2018-05-15
Category : Mathematics
ISBN : 9781498715614

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Multistate Models for the Analysis of Life History Data by Richard J Cook,Jerald F. Lawless Pdf

Multistate Models for the Analysis of Life History Data provides the first comprehensive treatment of multistate modeling and analysis, including parametric, nonparametric and semiparametric methods applicable to many types of life history data. Special models such as illness-death, competing risks and progressive processes are considered, as well as more complex models. The book provides both theoretical development and illustrations of analysis based on data from randomized trials and observational cohort studies in health research. It features: Discusses a wide range of applications of multistate models, Presents methods for both continuously and intermittently observed life history processes, Gives a thorough discussion of conditionally independent censoring and observation processes, Discusses models with random effects and joint models for two or more multistate processes, Discusses and illustrates software for multistate analysis that is available in R, Target audience includes those engaged in research and applications involving multistate models.

Author : Claudia Czado
Publisher : Springer
Page : 242 pages
File Size : 50,8 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 : Chongfu Huang,Zoe S. Nivolianitou
Publisher : CRC Press
Page : 958 pages
File Size : 50,8 Mb
Release : 2019-10-11
Category : Science
ISBN : 9781000728132

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Risk Analysis Based on Data and Crisis Response Beyond Knowledge by Chongfu Huang,Zoe S. Nivolianitou Pdf

This book collects the papers presented at the 7th International Conference on Risk Analysis and Crisis Response (RACR-2019) held in Athens, Greece, on October 15-19, 2019. The overall theme of the seventh international conference on risk analysis and crisis response is Risk Analysis Based on Data and Crisis Response Beyond Knowledge, highlighting science and technology to improve risk analysis capabilities and to optimize crisis response strategy. This book contains primarily research articles of risk issues. Underlying topics include natural hazards and major (chemical) accidents prevention, disaster risk reduction and society resilience, information and communication technologies safety and cybersecurity, modern trends in crisis management, energy and resources security, critical infrastructure, nanotechnology safety and others. All topics include aspects of multidisciplinarity and complexity of safety in education and research. The book should be valuable to professors, engineers, officials, businessmen and graduate students in risk analysis and risk management.

Author : Robert K. Goldberg
Publisher : Unknown
Page : 16 pages
File Size : 52,6 Mb
Release : 1999
Category : Electronic
ISBN : NASA:31769000633589

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Strain Rate Dependent Modeling of Polymer Matrix Composites by Robert K. Goldberg Pdf