Stock image for illustration purposes only - book cover, edition or condition may vary.
Dependence Modeling with Copulas
Harry Joe
€ 120.20
FREE Delivery in Ireland
Description for Dependence Modeling with Copulas
Hardback. Series: Chapman & Hall/CRC Monographs on Statistics & Applied Probability. Num Pages: 480 pages, 21 black & white illustrations, 74 black & white tables. BIC Classification: PBT. Category: (G) General (US: Trade); (U) Tertiary Education (US: College). Dimension: 263 x 177 x 27. Weight in Grams: 1014.
Dependence Modeling with Copulas covers the substantial advances that have taken place in the field during the last 15 years, including vine copula modeling of high-dimensional data. Vine copula models are constructed from a sequence of bivariate copulas. The book develops generalizations of vine copula models, including common and structured factor models that extend from the Gaussian assumption to copulas. It also discusses other multivariate constructions and parametric copula families that have different tail properties and presents extensive material on dependence and tail properties to assist in copula model selection. The author shows how numerical methods and algorithms for inference and simulation are important in high-dimensional copula applications. He presents the algorithms as pseudocode, illustrating their implementation for high-dimensional copula models. He also incorporates results to determine dependence and tail properties of multivariate distributions for future constructions of copula models.
Product Details
Publisher
Taylor & Francis Inc
Format
Hardback
Publication date
2014
Series
Chapman & Hall/CRC Monographs on Statistics & Applied Probability
Condition
New
Weight
1075g
Number of Pages
480
Place of Publication
Bosa Roca, United States
ISBN
9781466583221
SKU
V9781466583221
Shipping Time
Usually ships in 4 to 8 working days
Ref
99-1
Reviews for Dependence Modeling with Copulas
... a 'must have' for someone seriously involved in dependence modeling with copulas, especially with a focus on modeling real data. The huge collection of facts and references for certain families of copulas, dependence measures, and statistical tools makes this book a valuable reference for researchers and experienced practitioners. I expect the statistical approach to the field will be especially appealing for the JASA audience. -Journal of the American Statistical Association, December 2015 Harry Joe's impressive new book Dependence Modeling with Copulas will undoubtedly become a key reference work in the field. ... this excellent book will be a welcome addition to the library of anyone with an interest in copulas, multivariate statistics, or models of dependence. The researcher will find the book indispensable while the applied statistician will find much of value to guide the choice of copula models in data analysis. The book is packed with information ... an interested reader will return to the text again and again, making new discoveries each time. -Journal of Time Series Analysis, 2015