The Copula Approach To Sample Selection Modelling PDF Download
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Author | : Margarita Genius |
Publisher | : |
Total Pages | : |
Release | : 2008 |
Genre | : |
ISBN | : |
Download Applying the Copula Approach to Sample Selection Modelling Book in PDF, ePub and Kindle
Abstract: The limited availability of tractable multivariate distributions undermines the validity of the standard parametric approach to sample selection modelling. Copula distributions can be very useful in situations where the applied researcher has a prior on the distributional form of the margins, since the modelling of the latter is separated from that of the dependence structure. The present paper first presents an application to female work data. Afterwards, the approach is analysed in an application to contingent valuation data on recreational values of forests. It is shown that the copula approach is especially beneficial in case of strong departures from the hypothesis of normality
Author | : Margarita Genius |
Publisher | : |
Total Pages | : 36 |
Release | : 2004 |
Genre | : Copulas (Mathematical statistics) |
ISBN | : |
Download The Copula Approach to Sample Selection Modelling Book in PDF, ePub and Kindle
Author | : Harry Joe |
Publisher | : World Scientific |
Total Pages | : 370 |
Release | : 2011 |
Genre | : Business & Economics |
ISBN | : 981429988X |
Download Dependence Modeling Book in PDF, ePub and Kindle
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 | : Pravin K. Trivedi |
Publisher | : Now Publishers Inc |
Total Pages | : 126 |
Release | : 2007 |
Genre | : Business & Economics |
ISBN | : 1601980205 |
Download Copula Modeling Book in PDF, ePub and Kindle
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
Author | : Karol Wyszynki |
Publisher | : |
Total Pages | : 0 |
Release | : 2016 |
Genre | : |
ISBN | : |
Download Semi-parametric Copula Sample Selection Models for Count Responses Book in PDF, ePub and Kindle
Author | : Vladik Kreinovich |
Publisher | : Springer |
Total Pages | : 693 |
Release | : 2017-02-11 |
Genre | : Technology & Engineering |
ISBN | : 3319507427 |
Download Robustness in Econometrics Book in PDF, ePub and Kindle
This book presents recent research on robustness in econometrics. Robust data processing techniques – i.e., techniques that yield results minimally affected by outliers – and their applications to real-life economic and financial situations are the main focus of this book. The book also discusses applications of more traditional statistical techniques to econometric problems. Econometrics is a branch of economics that uses mathematical (especially statistical) methods to analyze economic systems, to forecast economic and financial dynamics, and to develop strategies for achieving desirable economic performance. In day-by-day data, we often encounter outliers that do not reflect the long-term economic trends, e.g., unexpected and abrupt fluctuations. As such, it is important to develop robust data processing techniques that can accommodate these fluctuations.
Author | : K. Wyszynski |
Publisher | : |
Total Pages | : |
Release | : 2016 |
Genre | : |
ISBN | : |
Download Semi-parametric Copula Sample Selection Models for Count Responses Book in PDF, ePub and Kindle
Author | : Torben Gustav Andersen |
Publisher | : Springer Science & Business Media |
Total Pages | : 1045 |
Release | : 2009-04-21 |
Genre | : Business & Economics |
ISBN | : 3540712976 |
Download Handbook of Financial Time Series Book in PDF, ePub and Kindle
The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
Author | : Piotr Jaworski |
Publisher | : Springer Science & Business Media |
Total Pages | : 338 |
Release | : 2010-07-16 |
Genre | : Mathematics |
ISBN | : 3642124658 |
Download Copula Theory and Its Applications Book in PDF, ePub and Kindle
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 | : Claudia Czado |
Publisher | : |
Total Pages | : |
Release | : 2019 |
Genre | : Copulas (Mathematical statistics) |
ISBN | : 9783030137861 |
Download Analyzing Dependent Data with Vine Copulas Book in PDF, ePub and Kindle
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.