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Dependence Modeling : Vine Copula Handbook.

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 termino...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Kurowicka, Dorota
Otros Autores: Joe, Harry
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Singapore : World Scientific, 2010.
Temas:
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Preface; Contents; 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. Grønneberg; 7. Dependence Comparisons of Vine Copulae with Four or More Variables H. Joe.
  • 8. Tail Dependence in Vine Copulae H. Joe9. 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. Gärtner 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. Berg16. Dynamic D-Vine Model A. Heinen and A. Valdesogo; 17. Summary and Future Directions D. Kurowicka; Index.