Harry Joe

Dependence Modeling with Copulas

• Gebundenes Buch

Produktbeschreibung

This book covers recent advances in the field, including vine copula modeling of high-dimensional data. The author develops vine copula models and generalizations, discusses other multivariate constructions and parametric copula families, and presents dependence and tail properties to assist readers in copula model selection. He also covers inference, diagnostics, model comparison, numerical methods, and algorithms for copula applications. Software and code area available on the author's website.

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Produktdetails

• Chapman & Hall/CRC Monographs on Statistics and Applied Probability
• Verlag: Taylor & Francis Inc
• Seitenzahl: 480
• Erscheinungstermin: 26. Juni 2014
• Englisch
• Abmessung: 261mm x 182mm x 27mm
• Gewicht: 1070g
• ISBN-13: 9781466583221
• ISBN-10: 1466583223
• Artikelnr.: 40556371

Autorenporträt

Harry Joe

Inhaltsangabe

Introduction. Basics: Dependence
Tail Behavior
and Asymmetries. Copula Construction Methods. Parametric Copula Families and Properties. Inference
Diagnostics
and Model Selection. Computing and Algorithms. Applications and Data Examples. Theorems for Properties of Copulas. Appendix. Index.

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Introduction. Basics: Dependence, Tail Behavior, and Asymmetries. Copula Construction Methods. Parametric Copula Families and Properties. Inference, Diagnostics, and Model Selection. Computing and Algorithms. Applications and Data Examples. Theorems for Properties of Copulas. Appendix. Index.

Rezensionen

"This monograph is an essential compendium for any researcher working with copulas, and I am sure that it will become the primary reference for anything 'copula'. It is mathematically rigorous with consistent notation and attention to detail in every respect...in each chapter, researchers will find a comprehensive and precise description of a specific research topic with many invaluable references to relevant recent publications...A must-have on the bookshelf of any statistician interested in multivariate modelling!"
-Australian and New Zealand Journal of Statistics, March 2016

"... 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