Analyzing Dependent Data with Vine Copulas: A Practical Guide With R (1st ed. 2019) (Lecture Notes in Statistics #222)

Synopsis

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.

Copyright:

2019

Book Details

Book Quality:

Publisher Quality

ISBN-13:

9783030137854

Related ISBNs:

9783030137847

Publisher:

Springer International Publishing

Date of Addition:

07/09/19

Copyrighted By:

Springer

Adult content:

No

Language:

English

Has Image Descriptions:

No

Categories:

Nonfiction, Computers and Internet, Business and Finance, Mathematics and Statistics, Medicine

Submitted By:

Bookshare Staff

Usage Restrictions:

This is a copyrighted book.