Dependence Modeling with Copulas
1st Edition
Published on 26. June 2014
Book
Hardback
480 pages
978-1-4665-8322-1 (ISBN)
Description
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.
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.
Reviews / Votes
"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
More details
Series
Language
English
Place of publication
Bosa Roca
United States
Publishing group
Taylor & Francis Inc
Target group
College/higher education
Researchers and graduate students in statistics, finance, economics, and environmental science.
Illustrations
21 s/w Abbildungen, 74 s/w Tabellen
74 Tables, black and white; 21 Illustrations, black and white
Dimensions
Height: 260 mm
Width: 183 mm
Thickness: 30 mm
Weight
1093 gr
ISBN-13
978-1-4665-8322-1 (9781466583221)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Harry Joe
Dependence Modeling with Copulas
Book
01/2023
1st Edition
Chapman & Hall/CRC
€70.80
Shipment within 10-20 days
Harry Joe
Dependence Modeling with Copulas
E-Book
06/2014
1st Edition
Chapman & Hall/CRC
€65.99
Available for download
Harry Joe
Dependence Modeling with Copulas
E-Book
06/2014
1st Edition
Chapman and Hall
€65.99
Available for download
Person
Harry Joe
Content
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.