Statistical Inference for Copula and Tail Copula Models with Applications to Finance and Insurance,
Автор: Nelsen Название: An Introduction to Copulas ISBN: 0387286594 ISBN-13(EAN): 9780387286594 Издательство: Springer Рейтинг: Цена: 22359.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Copulas are functions that join multivariate distribution functions to their one-dimensional margins. The study of copulas and their role in statistics is a new but vigorously growing field. In this book the student or practitioner of statistics and probability will find discussions of the fundamental properties of copulas and some of their primary applications. The applications include the study of dependence and measures of association, and the construction of families of bivariate distributions.With nearly a hundred examples and over 150 exercises, this book is suitable as a text or for self-study. The only prerequisite is an upper level undergraduate course in probability and mathematical statistics, although some familiarity with nonparametric statistics would be useful. Knowledge of measure-theoretic probability is not required.Roger B. Nelsen is Professor of Mathematics at Lewis & Clark College in Portland, Oregon. He is also the author of "Proofs Without Words: Exercises in Visual Thinking," published by the Mathematical Association of America.
Описание: 'Overall, the book is highly technical, including full mathematical proofs of the results stated. Potential readers are post-graduate students or researchers in Quantitative Risk Management willing to have a manual with the state-of-the-art on portfolio diversification and risk aggregation with heavy tails, including the fundamental theorems as well as collateral (but most useful) results on majorization and copula theory.'Quantitative Finance This book offers a unified approach to the study of crises, large fluctuations, dependence and contagion effects in economics and finance. It covers important topics in statistical modeling and estimation, which combine the notions of copulas and heavy tails -- two particularly valuable tools of today's research in economics, finance, econometrics and other fields -- in order to provide a new way of thinking about such vital problems as diversification of risk and propagation of crises through financial markets due to contagion phenomena, among others. The aim is to arm today's economists with a toolbox suited for analyzing multivariate data with many outliers and with arbitrary dependence patterns. The methods and topics discussed and used in the book include, in particular, majorization theory, heavy-tailed distributions and copula functions -- all applied to study robustness of economic, financial and statistical models, and estimation methods to heavy tails and dependence.
Автор: Gianfausto Salvadori; Carlo De Michele; Nathabandu Название: Extremes in Nature ISBN: 940178275X ISBN-13(EAN): 9789401782753 Издательство: Springer Рейтинг: Цена: 20896.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Most importantly, this is the first text in which Copulas are introduced and used in Geophysics.Several topics are fully original, and show how standard models and calculations can be improved by exploiting the opportunities offered by Copulas.
Описание: This book provides statistical methodologies for time series data, focusing on copula-based Markov chain models for serially correlated time series.
Автор: Takeshi Emura; Shigeyuki Matsui; Virginie Rondeau Название: Survival Analysis with Correlated Endpoints ISBN: 981133515X ISBN-13(EAN): 9789811335150 Издательство: Springer Рейтинг: Цена: 8384.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book introduces readers to advanced statistical methods for analyzing survival data involving correlated endpoints. Hence, the book offers an essential reference guide for medical statisticians and provides researchers with advanced, innovative statistical tools.
Описание: The theory of structured dependence has many real-life applications in areas such as finance, insurance, seismology, neuroscience, and genetics. The first book to be devoted to this research area, this is a useful tool for researchers and practitioners in the field, as well as graduate students.
Автор: Prokhorov, Artem Название: Efficiency and Productivity Analysis ISBN: 0367346095 ISBN-13(EAN): 9780367346096 Издательство: Taylor&Francis Рейтинг: Цена: 22202.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book is an easy to understand guide to copulas in productivity and efficiency analysis. It introduces readers to the fundamentals of copulas and stochastic frontier analysis (SFA). The book also examines newer concepts and tools related to the use of copulas in the field of productivity and efficiency analysis.
Автор: Prokhorov, Artem Название: Efficiency and Productivity Analysis ISBN: 0367346109 ISBN-13(EAN): 9780367346102 Издательство: Taylor&Francis Рейтинг: Цена: 5664.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book is an easy to understand guide to copulas in productivity and efficiency analysis. It introduces readers to the fundamentals of copulas and stochastic frontier analysis (SFA). The book also examines newer concepts and tools related to the use of copulas in the field of productivity and efficiency analysis.
Автор: Manuel ?beda Flores; Enrique de Amo Artero; Fabriz Название: Copulas and Dependence Models with Applications ISBN: 3319642200 ISBN-13(EAN): 9783319642208 Издательство: Springer Рейтинг: Цена: 16769.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book presents contributions and review articles on the theory of copulas and their applications.
Автор: Manuel ?beda Flores; Enrique de Amo Artero; Fabriz Название: Copulas and Dependence Models with Applications ISBN: 331987750X ISBN-13(EAN): 9783319877501 Издательство: Springer Рейтинг: Цена: 18167.00 р. Наличие на складе: Поставка под заказ.
Описание: This book presents contributions and review articles on the theory of copulas and their applications.
Автор: Hofert Название: Elements of Copula Modeling with R ISBN: 3319896342 ISBN-13(EAN): 9783319896342 Издательство: Springer Рейтинг: Цена: 15372.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book introduces the main theoretical findings related to copulas and shows how statistical modeling of multivariate continuous distributions using copulas can be carried out in the R statistical environment with the package copula (among others).
Автор: Enrico Marcantoni Название: Collateralized Debt Obligations ISBN: 365804845X ISBN-13(EAN): 9783658048457 Издательство: Springer Рейтинг: Цена: 10760.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The author focuses on a method to price Collateralized Debt Obligations (CDO) tranches. By comparing the tranches prices, it is possible to notice that the Clayton approach leads to smaller equity and mezzanine tranches. The senior and super senior tranches levels are higher when the dependence is modeled by a Clayton copula.
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