Buch, Englisch, Band 222, 242 Seiten, Paperback, Format (B × H): 155 mm x 235 mm, Gewicht: 417 g
Reihe: Lecture Notes in Statistics
A Practical Guide With R
Buch, Englisch, Band 222, 242 Seiten, Paperback, Format (B × H): 155 mm x 235 mm, Gewicht: 417 g
Reihe: Lecture Notes in Statistics
ISBN: 978-3-030-13784-7
Verlag: Springer International Publishing
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.
Zielgruppe
Graduate
Autoren/Hrsg.
Fachgebiete
- Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
- Mathematik | Informatik EDV | Informatik Daten / Datenbanken Big Data
- Mathematik | Informatik EDV | Informatik Angewandte Informatik Wirtschaftsinformatik
- Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen
- Mathematik | Informatik EDV | Informatik Business Application Mathematische & Statistische Software
- Mathematik | Informatik Mathematik Stochastik Mathematische Statistik
- Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsinformatik, SAP, IT-Management
Weitere Infos & Material
Preface.- Multivariate Distributions and Copulas.- Dependence Measures.- Bivariate Copula Classes, Their Visualization and Estimation.- Pair Copula Decompositions and Constructions.- Regular Vines.- Simulating Regular Vine Copulas and Distributions.- Parameter Estimation in Regular Vine Copulas.- Selection of Regular Vine Copula Models.- Comparing Regular Vine Copula Models.- Case Study: Dependence Among German DAX Stocks.- Recent Developments in Vine Copula Based Modeling.- Indices.