Copula Theory and Its Applications Proceedings of the Workshop Held in Warsaw, 25-26 September 2009 /
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...
| Συγγραφή απο Οργανισμό/Αρχή: | |
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| Άλλοι συγγραφείς: | , , , |
| Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
| Γλώσσα: | English |
| Έκδοση: |
Berlin, Heidelberg :
Springer Berlin Heidelberg,
2010.
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| Σειρά: | Lecture Notes in Statistics,
198 |
| Θέματα: | |
| Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- Surveys
- Copula Theory: An Introduction
- Dynamic Modeling of Dependence in Finance via Copulae Between Stochastic Processes
- Copula Estimation
- Pair-Copula Constructions of Multivariate Copulas
- Risk Aggregation
- Extreme-Value Copulas
- Construction and Sampling of Nested Archimedean Copulas
- Tail Behaviour of Copulas
- Copulae in Reliability Theory (Order Statistics, Coherent Systems)
- Copula-Based Measures of Multivariate Association
- Semi-copulas and Interpretations of Coincidences Between Stochastic Dependence and Ageing
- Contributed Papers
- A Copula-Based Model for Spatial and Temporal Dependence of Equity Markets
- Nonparametric and Semiparametric Bivariate Modeling of Petrophysical Porosity-Permeability Dependence from Well Log Data
- Testing Under the Extended Koziol-Green Model
- Parameter Estimation and Application of the Multivariate Skew t-Copula
- On Analytical Similarities of Archimedean and Exchangeable Marshall-Olkin Copulas
- Relationships Between Archimedean Copulas and Morgenstern Utility Functions.
