Coverart for item
The Resource Analyzing Dependent Data with Vine Copulas : A Practical Guide With R, by Claudia Czado, (electronic resource)

Analyzing Dependent Data with Vine Copulas : A Practical Guide With R, by Claudia Czado, (electronic resource)

Label
Analyzing Dependent Data with Vine Copulas : A Practical Guide With R
Title
Analyzing Dependent Data with Vine Copulas
Title remainder
A Practical Guide With R
Statement of responsibility
by Claudia Czado
Creator
Subject
Language
eng
Summary
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.--
Member of
Assigning source
Provided by publisher
http://library.link/vocab/creatorName
Czado, Claudia
Image bit depth
0
Literary form
non fiction
Nature of contents
dictionaries
Series statement
  • Lecture Notes in Statistics,
  • Springer eBooks
  • Springer eBooks.
Series volume
222
http://library.link/vocab/subjectName
  • Mathematical statistics
  • Statistics
  • Big data
Label
Analyzing Dependent Data with Vine Copulas : A Practical Guide With R, by Claudia Czado, (electronic resource)
Link
https://link-springer-com.ezproxy.eui.eu/book/10.1007/978-3-030-13785-4
Instantiates
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
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
Control code
978-3-030-13785-4
Dimensions
unknown
Extent
1 online resource (XXIX, 242 pages)
File format
multiple file formats
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9783030137854
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other physical details
70 illustrations, 25 illustrations in color.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)1103464618
Label
Analyzing Dependent Data with Vine Copulas : A Practical Guide With R, by Claudia Czado, (electronic resource)
Link
https://link-springer-com.ezproxy.eui.eu/book/10.1007/978-3-030-13785-4
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
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
Control code
978-3-030-13785-4
Dimensions
unknown
Extent
1 online resource (XXIX, 242 pages)
File format
multiple file formats
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9783030137854
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other physical details
70 illustrations, 25 illustrations in color.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)1103464618

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