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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...
| Clasificación: | Libro Electrónico |
|---|---|
| Otros Autores: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Singapore ; Hackensack, NJ :
World Scientific Pub.,
©2011.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- 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.