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Analyzing Dependent Data with Vine Copulas

Analyzing Dependent Data with Vine Copulas
Author: Claudia Czado
Publisher: Springer
Total Pages: 242
Release: 2019-05-14
Genre: Mathematics
ISBN: 3030137856
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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.

Dependence Modeling

Dependence Modeling
Author: Harry Joe
Publisher: World Scientific
Total Pages: 370
Release: 2011
Genre: Business & Economics
ISBN: 981429988X
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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

Dependence Modeling with Copulas

Dependence Modeling with Copulas
Author: Harry Joe
Publisher: CRC Press
Total Pages: 483
Release: 2014-06-26
Genre: Mathematics
ISBN: 1466583223
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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.

Dependence Modeling

Dependence Modeling
Author: Harry Joe
Publisher: World Scientific
Total Pages: 370
Release: 2011
Genre: Business & Economics
ISBN: 981429988X
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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

Multivariate Frequency Analysis of Hydro-Meteorological Variables

Multivariate Frequency Analysis of Hydro-Meteorological Variables
Author: Fateh Chebana
Publisher: Elsevier
Total Pages: 222
Release: 2022-11-16
Genre: Science
ISBN: 0323959075
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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

Mathematical and Statistical Methods for Actuarial Sciences and Finance

Mathematical and Statistical Methods for Actuarial Sciences and Finance
Author: Marco Corazza
Publisher: Springer Nature
Total Pages: 456
Release: 2022-04-11
Genre: Mathematics
ISBN: 3030996387
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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.

Tropical Ecosystems in the 21st Century

Tropical Ecosystems in the 21st Century
Author:
Publisher: Academic Press
Total Pages: 494
Release: 2020-03-18
Genre: Science
ISBN: 0128211369
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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

Advances in Statistics - Theory and Applications

Advances in Statistics - Theory and Applications
Author: Indranil Ghosh
Publisher: Springer Nature
Total Pages: 443
Release: 2021-04-01
Genre: Mathematics
ISBN: 3030629007
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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.

Copula Theory and Its Applications

Copula Theory and Its Applications
Author: Piotr Jaworski
Publisher: Springer Science & Business Media
Total Pages: 338
Release: 2010-07-16
Genre: Mathematics
ISBN: 3642124658
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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.