Copulas and Stochastic Processes
Author | : Volker Schmitz |
Publisher | : |
Total Pages | : 110 |
Release | : 2003 |
Genre | : |
ISBN | : 9783832212780 |
Download Copulas and Stochastic Processes Book in PDF, ePub and Kindle
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Copulas And Stochastic Processes PDF full book. Access full book title Copulas And Stochastic Processes.
Author | : Volker Schmitz |
Publisher | : |
Total Pages | : 110 |
Release | : 2003 |
Genre | : |
ISBN | : 9783832212780 |
Author | : Jan-frederik Mai |
Publisher | : #N/A |
Total Pages | : 357 |
Release | : 2017-06-07 |
Genre | : Mathematics |
ISBN | : 9813149264 |
'The book remains a valuable tool both for statisticians who are already familiar with the theory of copulas and just need to develop sampling algorithms, and for practitioners who want to learn copulas and implement the simulation techniques needed to exploit the potential of copulas in applications.'Mathematical ReviewsThe 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.
Author | : Manuel Úbeda Flores |
Publisher | : Springer |
Total Pages | : 268 |
Release | : 2017-10-13 |
Genre | : Mathematics |
ISBN | : 3319642219 |
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 | : Matthias Scherer |
Publisher | : World Scientific |
Total Pages | : 310 |
Release | : 2012-06-26 |
Genre | : Mathematics |
ISBN | : 1908977582 |
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.
Author | : Piotr Jaworski |
Publisher | : Springer Science & Business Media |
Total Pages | : 338 |
Release | : 2010-07-16 |
Genre | : Mathematics |
ISBN | : 3642124658 |
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 | : Roger B. Nelsen |
Publisher | : Springer Science & Business Media |
Total Pages | : 227 |
Release | : 2013-03-09 |
Genre | : Mathematics |
ISBN | : 1475730764 |
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.
Author | : Marius Hofert |
Publisher | : Springer |
Total Pages | : 267 |
Release | : 2019-01-09 |
Genre | : Business & Economics |
ISBN | : 3319896350 |
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.
Author | : Li-Hsien Sun |
Publisher | : Springer Nature |
Total Pages | : 141 |
Release | : 2020-07-01 |
Genre | : Business & Economics |
ISBN | : 9811549982 |
This book provides statistical methodologies for time series data, focusing on copula-based Markov chain models for serially correlated time series. It also includes data examples from economics, engineering, finance, sport and other disciplines to illustrate the methods presented. An accessible textbook for students in the fields of economics, management, mathematics, statistics, and related fields wanting to gain insights into the statistical analysis of time series data using copulas, the book also features stand-alone chapters to appeal to researchers. As the subtitle suggests, the book highlights parametric models based on normal distribution, t-distribution, normal mixture distribution, Poisson distribution, and others. Presenting likelihood-based methods as the main statistical tools for fitting the models, the book details the development of computing techniques to find the maximum likelihood estimator. It also addresses statistical process control, as well as Bayesian and regression methods. Lastly, to help readers analyze their data, it provides computer codes (R codes) for most of the statistical methods.
Author | : Umberto Cherubini |
Publisher | : Springer |
Total Pages | : 99 |
Release | : 2016-12-01 |
Genre | : Business & Economics |
ISBN | : 3319480154 |
This book presents a novel approach to time series econometrics, which studies the behavior of nonlinear stochastic processes. This approach allows for an arbitrary dependence structure in the increments and provides a generalization with respect to the standard linear independent increments assumption of classical time series models. The book offers a solution to the problem of a general semiparametric approach, which is given by a concept called C-convolution (convolution of dependent variables), and the corresponding theory of convolution-based copulas. Intended for econometrics and statistics scholars with a special interest in time series analysis and copula functions (or other nonparametric approaches), the book is also useful for doctoral students with a basic knowledge of copula functions wanting to learn about the latest research developments in the field.
Author | : J. Mai |
Publisher | : Springer |
Total Pages | : 167 |
Release | : 2014-10-02 |
Genre | : Business & Economics |
ISBN | : 1137346310 |
This is a succinct guide to the application and modelling of dependence models or copulas in the financial markets. First applied to credit risk modelling, copulas are now widely used across a range of derivatives transactions, asset pricing techniques and risk models and are a core part of the financial engineer's toolkit.