Simulating Copulas

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Simulating Copulas

Jan-Frederik Mai,Matthias Scherer
Simulating Copulas Book PDF

Author : Jan-Frederik Mai,Matthias Scherer
Publisher : World Scientific
Page : 312 pages
File Size : 43,7 Mb
Release : 2012-06-26
Category : Mathematics
ISBN : 9781908977588

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Simulating Copulas by Jan-Frederik Mai,Matthias Scherer Pdf

This book provides the reader with a background on simulating copulas and multivariate distributions in general. It unifies the scattered literature on the simulation of various families of copulas (elliptical, Archimedean, Marshall-Olkin type, etc.) as well as on different construction principles (factor models, pair-copula construction, etc.). The book is self-contained and unified in presentation and can be used as a textbook for advanced undergraduate or graduate students with a firm background in stochastics. Alongside the theoretical foundation, ready-to-implement algorithms and many examples make this book a valuable tool for anyone who is applying the methodology. Errata(s) Errata (128 KB) Sample Chapter(s) Chapter 1: Introduction (1,016 KB) Chapter 4: Elliptical Copulas (857 KB) Contents:IntroductionArchimedean CopulasMarshall–Olkin CopulasElliptical CopulasPair Copula ConstructionsSampling Univariate Random VariablesThe Monte Carlo Method Readership: Advanced undergraduate and graduate students in probability calculus and stochastics, practitioners who implement models in the financial industry and scientists. Keywords:Copula;Simulation;Monte Carlo;Random Vector;Dependence ModelKey Features:Explicit focus on stochastic representations of copulas in contrast to an analytical perspectiveEasy-to-implement simulation schemes given as pseudo codeExplicit focus on high-dimensional modelsFocus on applicability of models, e.g. to portfolio credit risk or insuranceReviews:“The book is essentially self-contained, as the reader interested in copulas from the simulation point of view will find all necessary material in it, including an introduction to copulas if he has never been exposed to them. Both the theoretical and practical frameworks emerge quite clearly from the book. In any case, the rich bibliography contains all the references required for further in-depth analyses of specific issues. I think that the authors did a very good job, filling a gap in the statistical literature and providing a contribution that is going to be particularly helpful to statisticians without a specific background in copulas. ”Mathematical Reviews

Simulating Copulas

Jan-Frederik Mai,Matthias Scherer
Simulating Copulas Book PDF

Author : Jan-Frederik Mai,Matthias Scherer
Publisher : World Scientific
Page : 310 pages
File Size : 43,8 Mb
Release : 2012
Category : Mathematics
ISBN : 9781848168749

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Simulating Copulas by Jan-Frederik Mai,Matthias Scherer Pdf

This book provides the reader with a background on simulating copulas and multivariate distributions in general. It unifies the scattered literature on the simulation of various families of copulas (elliptical, Archimedean, Marshall-Olkin type, etc.) as well as on different construction principles (factor models, pair-copula construction, etc.). The book is self-contained and unified in presentation and can be used as a textbook for advanced undergraduate or graduate students with a firm background in stochastics. Alongside the theoretical foundation, ready-to-implement algorithms and many examples make this book a valuable tool for anyone who is applying the methodology.Errata(s)Errata (128 KB)

Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications (Second Edition)

Scherer Matthias,Mai Jan-frederik
Simulating Copulas Stochastic Models Sampling Algorithms And Applications Second Edition Book PDF

Author : Scherer Matthias,Mai Jan-frederik
Publisher : #N/A
Page : 356 pages
File Size : 54,5 Mb
Release : 2017-06-07
Category : Mathematics
ISBN : 9789813149267

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Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications (Second Edition) by Scherer Matthias,Mai Jan-frederik Pdf

The book provides the background on simulating copulas and multivariate distributions in general. It unifies the scattered literature on the simulation of various families of copulas (elliptical, Archimedean, Marshall-Olkin type, etc.) as well as on different construction principles (factor models, pair-copula construction, etc.). The book is self-contained and unified in presentation and can be used as a textbook for graduate and advanced undergraduate students with a firm background in stochastics. Besides the theoretical foundation, ready-to-implement algorithms and many examples make the book a valuable tool for anyone who is applying the methodology.

Simulating Copulas

Jan-Frederik Mai,Matthias Scherer
Simulating Copulas Book PDF

Author : Jan-Frederik Mai,Matthias Scherer
Publisher : Unknown
Page : 357 pages
File Size : 51,6 Mb
Release : 2017
Category : Copulas (Mathematical statistics)
ISBN : 9813149256

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Simulating Copulas by Jan-Frederik Mai,Matthias Scherer Pdf

This book provides the reader with a background on simulating copulas and multivariate distributions in general. It unifies the scattered literature on the simulation of various families of copulas (elliptical, Archimedean, Marshall-Olkin type, etc.) as well as on different construction principles (factor models, pair-copula construction, etc.). The book is self-contained and unified in presentation and can be used as a textbook for advanced undergraduate or graduate students with a firm background in stochastics. Alongside the theoretical foundation, ready-to-implement algorithms and many examples make this book a valuable tool for anyone who is applying the methodology.

Topics in Statistical Simulation

V.B. Melas,Stefania Mignani,Paola Monari,Luigi Salmaso
Topics in Statistical Simulation Book PDF

Author : V.B. Melas,Stefania Mignani,Paola Monari,Luigi Salmaso
Publisher : Springer
Page : 539 pages
File Size : 50,5 Mb
Release : 2014-12-05
Category : Mathematics
ISBN : 9781493921041

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Topics in Statistical Simulation by V.B. Melas,Stefania Mignani,Paola Monari,Luigi Salmaso Pdf

The Department of Statistical Sciences of the University of Bologna in collaboration with the Department of Management and Engineering of the University of Padova, the Department of Statistical Modelling of Saint Petersburg State University, and INFORMS Simulation Society sponsored the Seventh Workshop on Simulation. This international conference was devoted to statistical techniques in stochastic simulation, data collection, analysis of scientific experiments, and studies representing broad areas of interest. The previous workshops took place in St. Petersburg, Russia in 1994, 1996, 1998, 2001, 2005, and 2009. The Seventh Workshop took place in the Rimini Campus of the University of Bologna, which is in Rimini’s historical center.

Elements of Copula Modeling with R

Marius Hofert,Ivan Kojadinovic,Martin Mächler,Jun Yan
Elements of Copula Modeling with R Book PDF

Author : Marius Hofert,Ivan Kojadinovic,Martin Mächler,Jun Yan
Publisher : Springer
Page : 267 pages
File Size : 53,6 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.

An Introduction to Copulas

Roger B. Nelsen
An Introduction to Copulas Book PDF

Author : Roger B. Nelsen
Publisher : Springer Science & Business Media
Page : 227 pages
File Size : 51,7 Mb
Release : 2013-03-09
Category : Mathematics
ISBN : 9781475730760

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An Introduction to Copulas by Roger B. Nelsen Pdf

Copulas are functions that join multivariate distribution functions to their one-dimensional margins. The study of copulas and their role in statistics is a new but vigorously growing field. In this book the student or practitioner of statistics and probability will find discussions of the fundamental properties of copulas and some of their primary applications. The applications include the study of dependence and measures of association, and the construction of families of bivariate distributions. With nearly a hundred examples and over 150 exercises, this book is suitable as a text or for self-study. The only prerequisite is an upper level undergraduate course in probability and mathematical statistics, although some familiarity with nonparametric statistics would be useful. Knowledge of measure-theoretic probability is not required. Roger B. Nelsen is Professor of Mathematics at Lewis & Clark College in Portland, Oregon. He is also the author of "Proofs Without Words: Exercises in Visual Thinking," published by the Mathematical Association of America.

Advances in System Reliability Engineering

Mangey Ram,J. Paulo Davim
Advances in System Reliability Engineering Book PDF

Author : Mangey Ram,J. Paulo Davim
Publisher : Academic Press
Page : 318 pages
File Size : 47,7 Mb
Release : 2018-11-24
Category : Technology & Engineering
ISBN : 9780128162729

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Advances in System Reliability Engineering by Mangey Ram,J. Paulo Davim Pdf

Recent Advances in System Reliability Engineering describes and evaluates the latest tools, techniques, strategies, and methods in this topic for a variety of applications. Special emphasis is put on simulation and modelling technology which is growing in influence in industry, and presents challenges as well as opportunities to reliability and systems engineers. Several manufacturing engineering applications are addressed, making this a particularly valuable reference for readers in that sector. Contains comprehensive discussions on state-of-the-art tools, techniques, and strategies from industry Connects the latest academic research to applications in industry including system reliability, safety assessment, and preventive maintenance Gives an in-depth analysis of the benefits and applications of modelling and simulation to reliability

Statistics and Data Analysis for Financial Engineering

David Ruppert
Statistics and Data Analysis for Financial Engineering Book PDF

Author : David Ruppert
Publisher : Springer Science & Business Media
Page : 638 pages
File Size : 47,5 Mb
Release : 2010-11-08
Category : Business & Economics
ISBN : 9781441977878

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Statistics and Data Analysis for Financial Engineering by David Ruppert Pdf

Financial engineers have access to enormous quantities of data but need powerful methods for extracting quantitative information, particularly about volatility and risks. Key features of this textbook are: illustration of concepts with financial markets and economic data, R Labs with real-data exercises, and integration of graphical and analytic methods for modeling and diagnosing modeling errors. Despite some overlap with the author's undergraduate textbook Statistics and Finance: An Introduction, this book differs from that earlier volume in several important aspects: it is graduate-level; computations and graphics are done in R; and many advanced topics are covered, for example, multivariate distributions, copulas, Bayesian computations, VaR and expected shortfall, and cointegration. The prerequisites are basic statistics and probability, matrices and linear algebra, and calculus. Some exposure to finance is helpful.

Extremes in a Changing Climate

Amir AghaKouchak,David Easterling,Kuolin Hsu,Siegfried Schubert,Soroosh Sorooshian
Extremes in a Changing Climate Book PDF

Author : Amir AghaKouchak,David Easterling,Kuolin Hsu,Siegfried Schubert,Soroosh Sorooshian
Publisher : Springer Science & Business Media
Page : 430 pages
File Size : 47,6 Mb
Release : 2012-10-24
Category : Science
ISBN : 9789400744783

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Extremes in a Changing Climate by Amir AghaKouchak,David Easterling,Kuolin Hsu,Siegfried Schubert,Soroosh Sorooshian Pdf

This book provides a collection of the state-of-the-art methodologies and approaches suggested for detecting extremes, trend analysis, accounting for nonstationarities, and uncertainties associated with extreme value analysis in a changing climate. This volume is designed so that it can be used as the primary reference on the available methodologies for analysis of climate extremes. Furthermore, the book addresses current hydrometeorologic global data sets and their applications for global scale analysis of extremes. While the main objective is to deliver recent theoretical concepts, several case studies on extreme climate conditions are provided. Audience The book is suitable for teaching in graduate courses in the disciplines of Civil and Environmental Engineering, Earth System Science, Meteorology and Atmospheric Sciences.

Risk and Reliability in Geotechnical Engineering

Kok-Kwang Phoon,Jianye Ching
Risk and Reliability in Geotechnical Engineering Book PDF

Author : Kok-Kwang Phoon,Jianye Ching
Publisher : CRC Press
Page : 624 pages
File Size : 47,8 Mb
Release : 2018-10-09
Category : Technology & Engineering
ISBN : 9781482227222

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Risk and Reliability in Geotechnical Engineering by Kok-Kwang Phoon,Jianye Ching Pdf

Establishes Geotechnical Reliability as Fundamentally Distinct from Structural Reliability Reliability-based design is relatively well established in structural design. Its use is less mature in geotechnical design, but there is a steady progression towards reliability-based design as seen in the inclusion of a new Annex D on "Reliability of Geotechnical Structures" in the third edition of ISO 2394. Reliability-based design can be viewed as a simplified form of risk-based design where different consequences of failure are implicitly covered by the adoption of different target reliability indices. Explicit risk management methodologies are required for large geotechnical systems where soil and loading conditions are too varied to be conveniently slotted into a few reliability classes (typically three) and an associated simple discrete tier of target reliability indices. Provides Realistic Practical Guidance Risk and Reliability in Geotechnical Engineering makes these reliability and risk methodologies more accessible to practitioners and researchers by presenting soil statistics which are necessary inputs, by explaining how calculations can be carried out using simple tools, and by presenting illustrative or actual examples showcasing the benefits and limitations of these methodologies. With contributions from a broad international group of authors, this text: Presents probabilistic models suited for soil parameters Provides easy-to-use Excel-based methods for reliability analysis Connects reliability analysis to design codes (including LRFD and Eurocode 7) Maximizes value of information using Bayesian updating Contains efficient reliability analysis methods Accessible To a Wide Audience Risk and Reliability in Geotechnical Engineering presents all the "need-to-know" information for a non-specialist to calculate and interpret the reliability index and risk of geotechnical structures in a realistic and robust way. It suits engineers, researchers, and students who are interested in the practical outcomes of reliability and risk analyses without going into the intricacies of the underlying mathematical theories.

Copula Modeling

Pravin K. Trivedi,P. K. Trivedi,David M. Zimmer
Copula Modeling Book PDF

Author : Pravin K. Trivedi,P. K. Trivedi,David M. Zimmer
Publisher : Now Publishers Inc
Page : 126 pages
File Size : 48,8 Mb
Release : 2007
Category : Business & Economics
ISBN : 9781601980205

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Copula Modeling by Pravin K. Trivedi,P. K. Trivedi,David M. Zimmer Pdf

Copula Modeling explores the copula approach for econometrics modeling of joint parametric distributions. Copula Modeling demonstrates that practical implementation and estimation is relatively straightforward despite the complexity of its theoretical foundations. An attractive feature of parametrically specific copulas is that estimation and inference are based on standard maximum likelihood procedures. Thus, copulas can be estimated using desktop econometric software. This offers a substantial advantage of copulas over recently proposed simulation-based approaches to joint modeling. Copulas are useful in a variety of modeling situations including financial markets, actuarial science, and microeconometrics modeling. Copula Modeling provides practitioners and scholars with a useful guide to copula modeling with a focus on estimation and misspecification. The authors cover important theoretical foundations. Throughout, the authors use Monte Carlo experiments and simulations to demonstrate copula properties

Analyzing Dependent Data with Vine Copulas

Claudia Czado
Analyzing Dependent Data with Vine Copulas Book PDF

Author : Claudia Czado
Publisher : Unknown
Page : 128 pages
File Size : 52,9 Mb
Release : 2019
Category : Copulas (Mathematical statistics)
ISBN : 3030137864

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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.

Copulas and Their Applications in Water Resources Engineering

Lan Zhang,V. P. Singh
Copulas and Their Applications in Water Resources Engineering Book PDF

Author : Lan Zhang,V. P. Singh
Publisher : Cambridge University Press
Page : 621 pages
File Size : 49,9 Mb
Release : 2019-01-10
Category : Mathematics
ISBN : 9781108474252

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Copulas and Their Applications in Water Resources Engineering by Lan Zhang,V. P. Singh Pdf

Illustration of copula theory with detailed real-world case study examples in the fields of hydrology and water resources engineering.

Dependence Modeling with Copulas

Harry Joe
Dependence Modeling with Copulas Book PDF

Author : Harry Joe
Publisher : CRC Press
Page : 479 pages
File Size : 51,9 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