By Harry Joe
Dependence Modeling with Copulas covers the huge advances that experience taken position within the box over the last 15 years, together with vine copula modeling of high-dimensional facts. Vine copula versions are made from a series of bivariate copulas. The publication develops generalizations of vine copula versions, together with universal and based issue versions that stretch from the Gaussian assumption to copulas. It additionally discusses different multivariate structures and parametric copula households that experience diverse tail homes and provides broad fabric on dependence and tail houses to help in copula version selection.
The writer indicates how numerical equipment and algorithms for inference and simulation are very important in high-dimensional copula functions. He provides the algorithms as pseudocode, illustrating their implementation for high-dimensional copula types. He additionally comprises effects to figure out dependence and tail houses of multivariate distributions for destiny buildings of copula models.
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Dependence Modeling with Copulas (Chapman & Hall/CRC Monographs on Statistics & Applied Probability) by Harry Joe