Dependence modeling: vine copula handbook
(eBook)
Contributors:
Published:
Singapore ; Hackensack, NJ : World Scientific Pub., ©2011.
Format:
eBook
ISBN:
9789814299886, 981429988X
Physical Desc:
1 online resource (viii, 360 pages) : illustrations
Status:
Ebsco (CCU)
Description
This book is a collaborative effort from three workshops held over the last three years, all involving principal contributors to the vine-copula methodology. Research and applications in vines have been growing rapidly and there is now a growing need to collate basic results, and standardize terminology and methods. Specifically, this handbook will (1) trace historical developments, standardizing notation and terminology, (2) summarize results on bivariate copulae, (3) summarize results for regular vines, and (4) give an overview of its applications. In addition, many of these results are new and not readily available in any existing journals. New research directions are also discussed.
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Citations
APA Citation (style guide)
Kurowicka, D., & Joe, H. (2011). Dependence modeling: vine copula handbook. Singapore ; Hackensack, NJ, World Scientific Pub.
Chicago / Turabian - Author Date Citation (style guide)Kurowicka, Dorota, 1967- and Harry. Joe. 2011. Dependence Modeling: Vine Copula Handbook. Singapore ; Hackensack, NJ, World Scientific Pub.
Chicago / Turabian - Humanities Citation (style guide)Kurowicka, Dorota, 1967- and Harry. Joe, Dependence Modeling: Vine Copula Handbook. Singapore ; Hackensack, NJ, World Scientific Pub, 2011.
MLA Citation (style guide)Kurowicka, Dorota and Harry Joe. Dependence Modeling: Vine Copula Handbook. Singapore ; Hackensack, NJ, World Scientific Pub, 2011.
Note! Citation formats are based on standards as of July 2022. Citations contain only title, author, edition, publisher, and year published. Citations should be used as a guideline and should be double checked for accuracy.
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Language:
English
Notes
Bibliography
Includes bibliographical references and index.
Description
This book is a collaborative effort from three workshops held over the last three years, all involving principal contributors to the vine-copula methodology. Research and applications in vines have been growing rapidly and there is now a growing need to collate basic results, and standardize terminology and methods. Specifically, this handbook will (1) trace historical developments, standardizing notation and terminology, (2) summarize results on bivariate copulae, (3) summarize results for regular vines, and (4) give an overview of its applications. In addition, many of these results are new and not readily available in any existing journals. New research directions are also discussed.
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Grouped Work ID:
cde4993a-de7c-ed6a-bfe2-03bb4664d1d7
Record Information
| Last File Modification Time | Apr 05, 2024 09:28:39 PM |
|---|---|
| Last Grouped Work Modification Time | Apr 05, 2024 09:12:39 PM |
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| 505 | 0 | |a 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. | |
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