Coverart for item
The Resource Convolution Copula Econometrics, by Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci, (electronic resource)

Convolution Copula Econometrics, by Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci, (electronic resource)

Label
Convolution Copula Econometrics
Title
Convolution Copula Econometrics
Statement of responsibility
by Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci
Creator
Contributor
Author
Subject
Language
eng
Summary
This book presents a novel approach to time series econometrics, which studies the behavior of nonlinear stochastic processes. This approach allows for an arbitrary dependence structure in the increments and provides a generalization with respect to the standard linear independent increments assumption of classical time series models. The book offers a solution to the problem of a general semiparametric approach, which is given by a concept called C-convolution (convolution of dependent variables), and the corresponding theory of convolution-based copulas. Intended for econometrics and statistics scholars with a special interest in time series analysis and copula functions (or other nonparametric approaches), the book is also useful for doctoral students with a basic knowledge of copula functions wanting to learn about the latest research developments in the field.--
Member of
Assigning source
Provided by publisher
http://library.link/vocab/creatorName
Cherubini, Umberto
Image bit depth
0
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorName
  • Gobbi, Fabio.
  • Mulinacci, Sabrina.
Series statement
  • Springer eBooks
  • SpringerBriefs in Statistics,
http://library.link/vocab/subjectName
  • Statistics
  • Applied mathematics
  • Engineering mathematics
  • Probabilities
  • Econometrics
Label
Convolution Copula Econometrics, by Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci, (electronic resource)
Link
http://ezproxy.eui.eu/login?url=http://dx.doi.org/10.1007/978-3-319-48015-2
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 -- The Dynamics of Economic Variables -- Estimation of Copula Models -- Copulas and Estimation of Markov Processes -- Copula-based Markov Processes: Estimation, Mixing Properties and Long-term Behavior -- Convolution-based Processes -- Application to Interest Rates.
Control code
978-3-319-48015-2
Dimensions
unknown
Extent
1 online resource (X, 90 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
9783319480152
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-48015-2
Other physical details
31 illustrations, 30 illustrations in color.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)965492846
Label
Convolution Copula Econometrics, by Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci, (electronic resource)
Link
http://ezproxy.eui.eu/login?url=http://dx.doi.org/10.1007/978-3-319-48015-2
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 -- The Dynamics of Economic Variables -- Estimation of Copula Models -- Copulas and Estimation of Markov Processes -- Copula-based Markov Processes: Estimation, Mixing Properties and Long-term Behavior -- Convolution-based Processes -- Application to Interest Rates.
Control code
978-3-319-48015-2
Dimensions
unknown
Extent
1 online resource (X, 90 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
9783319480152
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-48015-2
Other physical details
31 illustrations, 30 illustrations in color.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)965492846

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