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Principles of Copula Theory

2015-07-01 Mathematics
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Release : 2015-07-01
Genre : Mathematics
Kind : eBook
Book Rating : 447/5 ( reviews)

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Book Synopsis Principles of Copula Theory by : Fabrizio Durante

Download or read book Principles of Copula Theory written by Fabrizio Durante. This book was released on 2015-07-01. Available in PDF, EPUB and Kindle. Book excerpt: This book gives readers the solid and formal mathematical background to apply copulas to a range of mathematical areas, such as probability, real analysis, measure theory, and algebraic structures. The authors prove the results as simply as possible and unify various methods scattered throughout the literature in common frameworks, including shuffles of copulas. They also explore connections with related functions, such as quasi-copulas, semi-copulas, and triangular norms, that have been used in different domains.

Analyzing Dependent Data with Vine Copulas

2019 Copulas (Mathematical statistics)
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Release : 2019
Genre : Copulas (Mathematical statistics)
Kind : eBook
Book Rating : 861/5 ( reviews)

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Book Synopsis Analyzing Dependent Data with Vine Copulas by : Claudia Czado

Download or read book Analyzing Dependent Data with Vine Copulas written by Claudia Czado. This book was released on 2019. Available in PDF, EPUB and Kindle. Book excerpt: This textbook provides a step-by-step introduction to the class of vine copulas, their statistical inference and applications. It focuses on statistical estimation and selection methods for vine copulas in data applications. These flexible copula models can successfully accommodate any form of tail dependence and are vital to many applications in finance, insurance, hydrology, marketing, engineering, chemistry, aviation, climatology and health. The book explains the pair-copula construction principles underlying these statistical models and discusses how to perform model selection and inference. It also derives simulation algorithms and presents real-world examples to illustrate the methodological concepts. The book includes numerous exercises that facilitate and deepen readers understanding, and demonstrates how the R package VineCopula can be used to explore and build statistical dependence models from scratch. In closing, the book provides insights into recent developments and open research questions in vine copula based modeling. The book is intended for students as well as statisticians, data analysts and any other quantitatively oriented researchers who are new to the field of vine copulas. Accordingly, it provides the necessary background in multivariate statistics and copula theory for exploratory data tools, so that readers only need a basic grasp of statistics and probability.

Copulas and Their Applications in Water Resources Engineering

2019-01-10 Mathematics
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Release : 2019-01-10
Genre : Mathematics
Kind : eBook
Book Rating : 25X/5 ( reviews)

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Book Synopsis Copulas and Their Applications in Water Resources Engineering by : Lan Zhang

Download or read book Copulas and Their Applications in Water Resources Engineering written by Lan Zhang. This book was released on 2019-01-10. Available in PDF, EPUB and Kindle. Book excerpt: Illustration of copula theory with detailed real-world case study examples in the fields of hydrology and water resources engineering.

Copula Theory and Its Applications

2010-07-16 Mathematics
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Release : 2010-07-16
Genre : Mathematics
Kind : eBook
Book Rating : 658/5 ( reviews)

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Book Synopsis Copula Theory and Its Applications by : Piotr Jaworski

Download or read book Copula Theory and Its Applications written by Piotr Jaworski. This book was released on 2010-07-16. Available in PDF, EPUB and Kindle. Book excerpt: 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 mathematics, such as finance, insurance and reliability theory. Today, they represent a well-recognized tool for market and credit models, aggregation of risks, portfolio selection, etc. This book is divided into two main parts: Part I - "Surveys" contains 11 chapters that provide an up-to-date account of essential aspects of copula models. Part II - "Contributions" collects the extended versions of 6 talks selected from papers presented at the workshop in Warsaw.

Simulating Copulas

2012 Mathematics
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Release : 2012
Genre : Mathematics
Kind : eBook
Book Rating : 748/5 ( reviews)

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Book Synopsis Simulating Copulas by : Jan-Frederik Mai

Download or read book Simulating Copulas written by Jan-Frederik Mai. This book was released on 2012. Available in PDF, EPUB and Kindle. Book excerpt: This book provides the reader with a background on simulating copulas and multivariate distributions in general. It unifies the scattered literature on the simulation of various families of copulas (elliptical, Archimedean, Marshall-Olkin type, etc.) as well as on different construction principles (factor models, pair-copula construction, etc.). The book is self-contained and unified in presentation and can be used as a textbook for advanced undergraduate or graduate students with a firm background in stochastics. Alongside the theoretical foundation, ready-to-implement algorithms and many examples make this book a valuable tool for anyone who is applying the methodology.Errata(s)Errata (128 KB)

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