Download or read book Copula Theory and Its Applications written by Piotr Jaworski and published by Springer Science & Business Media. This book was released on 2010-07-16 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt: Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Since their introduction in the early 50's, copulas have gained considerable popularity in several fields of applied mathematics, such as finance, insurance and reliability theory. Today, they represent a well-recognized tool for market and credit models, aggregation of risks, portfolio selection, etc. This book is divided into two main parts: Part I - "Surveys" contains 11 chapters that provide an up-to-date account of essential aspects of copula models. Part II - "Contributions" collects the extended versions of 6 talks selected from papers presented at the workshop in Warsaw.
Download or read book Principles of Copula Theory written by Fabrizio Durante and published by CRC Press. This book was released on 2015-07-01 with total page 331 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gives readers the solid and formal mathematical background to apply copulas to a range of mathematical areas, such as probability, real analysis, measure theory, and algebraic structures. The authors prove the results as simply as possible and unify various methods scattered throughout the literature in common frameworks, including shuffles of copulas. They also explore connections with related functions, such as quasi-copulas, semi-copulas, and triangular norms, that have been used in different domains.
Download or read book Copulas and Dependence Models with Applications written by Manuel Úbeda Flores and published by Springer. This book was released on 2017-10-13 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents contributions and review articles on the theory of copulas and their applications. The authoritative and refereed contributions review the latest findings in the area with emphasis on “classical” topics like distributions with fixed marginals, measures of association, construction of copulas with given additional information, etc. The book celebrates the 75th birthday of Professor Roger B. Nelsen and his outstanding contribution to the development of copula theory. Most of the book’s contributions were presented at the conference “Copulas and Their Applications” held in his honor in Almería, Spain, July 3-5, 2017. The chapter 'When Gumbel met Galambos' is published open access under a CC BY 4.0 license.
Download or read book Copulas and Their Applications in Water Resources Engineering written by Lan Zhang and published by Cambridge University Press. This book was released on 2019-01-10 with total page 621 pages. Available in PDF, EPUB and Kindle. Book excerpt: Illustration of copula theory with detailed real-world case study examples in the fields of hydrology and water resources engineering.
Download or read book An Introduction to Copulas written by Roger B. Nelsen and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Copulas and Its Application in Hydrology and Water Resources written by Lu Chen and published by Springer. This book was released on 2018-06-28 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents an overview of copula theory and its application in hydrology, and provides valuable insights, useful methods and practical applications for multivariate hydrological analysis using copulas. In addition, it extends the traditional bivariate model to trivariate or multivariate models. The specific applications covered include the study of flood frequency analysis, drought frequency analysis, dependence analysis, flood coincidence risk analysis and statistical simulation using copulas. The book offers a valuable guide for researchers, scientists and engineers working in hydrology and water resources, and will also benefit graduate or doctoral students with a basic grasp of copula functions who want to learn about the latest research developments in the field.
Download or read book Dynamic Copula Methods in Finance written by Umberto Cherubini and published by John Wiley & Sons. This book was released on 2011-10-20 with total page 287 pages. Available in PDF, EPUB and Kindle. Book excerpt: The latest tools and techniques for pricing and risk management This book introduces readers to the use of copula functions to represent the dynamics of financial assets and risk factors, integrated temporal and cross-section applications. The first part of the book will briefly introduce the standard the theory of copula functions, before examining the link between copulas and Markov processes. It will then introduce new techniques to design Markov processes that are suited to represent the dynamics of market risk factors and their co-movement, providing techniques to both estimate and simulate such dynamics. The second part of the book will show readers how to apply these methods to the evaluation of pricing of multivariate derivative contracts in the equity and credit markets. It will then move on to explore the applications of joint temporal and cross-section aggregation to the problem of risk integration.
Download or read book Dependence Modeling written by Harry Joe and published by World Scientific. This book was released on 2011 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt: 1. Introduction : Dependence modeling / D. Kurowicka -- 2. Multivariate copulae / M. Fischer -- 3. Vines arise / R.M. Cooke, H. Joe and K. Aas -- 4. Sampling count variables with specified Pearson correlation : A comparison between a naive and a C-vine sampling approach / V. Erhardt and C. Czado -- 5. Micro correlations and tail dependence / R.M. Cooke, C. Kousky and H. Joe -- 6. The Copula information criterion and Its implications for the maximum pseudo-likelihood estimator / S. Gronneberg -- 7. Dependence comparisons of vine copulae with four or more variables / H. Joe -- 8. Tail dependence in vine copulae / H. Joe -- 9. Counting vines / O. Morales-Napoles -- 10. Regular vines : Generation algorithm and number of equivalence classes / H. Joe, R.M. Cooke and D. Kurowicka -- 11. Optimal truncation of vines / D. Kurowicka -- 12. Bayesian inference for D-vines : Estimation and model selection / C. Czado and A. Min -- 13. Analysis of Australian electricity loads using joint Bayesian inference of D-vines with autoregressive margins / C. Czado, F. Gartner and A. Min -- 14. Non-parametric Bayesian belief nets versus vines / A. Hanea -- 15. Modeling dependence between financial returns using pair-copula constructions / K. Aas and D. Berg -- 16. Dynamic D-vine model / A. Heinen and A. Valdesogo -- 17. Summary and future directions / D. Kurowicka
Download or read book Entropy Theory and its Application in Environmental and Water Engineering written by Vijay P. Singh and published by John Wiley & Sons. This book was released on 2013-01-10 with total page 787 pages. Available in PDF, EPUB and Kindle. Book excerpt: Entropy Theory and its Application in Environmental and Water Engineering responds to the need for a book that deals with basic concepts of entropy theory from a hydrologic and water engineering perspective and then for a book that deals with applications of these concepts to a range of water engineering problems. The range of applications of entropy is constantly expanding and new areas finding a use for the theory are continually emerging. The applications of concepts and techniques vary across different subject areas and this book aims to relate them directly to practical problems of environmental and water engineering. The book presents and explains the Principle of Maximum Entropy (POME) and the Principle of Minimum Cross Entropy (POMCE) and their applications to different types of probability distributions. Spatial and inverse spatial entropy are important for urban planning and are presented with clarity. Maximum entropy spectral analysis and minimum cross entropy spectral analysis are powerful techniques for addressing a variety of problems faced by environmental and water scientists and engineers and are described here with illustrative examples. Giving a thorough introduction to the use of entropy to measure the unpredictability in environmental and water systems this book will add an essential statistical method to the toolkit of postgraduates, researchers and academic hydrologists, water resource managers, environmental scientists and engineers. It will also offer a valuable resource for professionals in the same areas, governmental organizations, private companies as well as students in earth sciences, civil and agricultural engineering, and agricultural and rangeland sciences. This book: Provides a thorough introduction to entropy for beginners and more experienced users Uses numerous examples to illustrate the applications of the theoretical principles Allows the reader to apply entropy theory to the solution of practical problems Assumes minimal existing mathematical knowledge Discusses the theory and its various aspects in both univariate and bivariate cases Covers newly expanding areas including neural networks from an entropy perspective and future developments.
Download or read book Financial Engineering with Copulas Explained written by J. Mai and published by Springer. This book was released on 2014-10-02 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a succinct guide to the application and modelling of dependence models or copulas in the financial markets. First applied to credit risk modelling, copulas are now widely used across a range of derivatives transactions, asset pricing techniques and risk models and are a core part of the financial engineer's toolkit.
Download or read book Advances in Probability Distributions with Given Marginals written by G. Dall'aglio and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 243 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Et moi - ... - si j'avait su comment en rcvenir. One service mathematics has rendered the je n'y serais point alle.' human race. It has put common sense back Jules Verne where it belongs, on the topmost shelf next to the dusty canistcr labelled 'discarded non sense'. The scries is divergent; therefore we may be Eric T. Bell able to do something with it. O. Heaviside Mathematics is a tool for thought. A highly necessary tool in a world where both feedback and non linearities abound. Similarly, all kinds of parts of mathematics serve as tools for other parts and for other sciences. Applying a simple rewriting rule to the quote on the right above one finds such statements as: 'One service topology has rendered mathematical physics .. .'; 'One service logic has rendered com puter science .. .'; 'One service category theory has rendered mathematics .. .'. All arguably true. And all statements obtainable this way form part of the raison d'etre of this series.
Download or read book Handbook of Financial Time Series written by Torben Gustav Andersen and published by Springer Science & Business Media. This book was released on 2009-04-21 with total page 1045 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
Download or read book Copulas written by Jörn Rank and published by Bloomberg Press. This book was released on 2007 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: The use of copulas becoming increasingly important in finance. This book provides a varied perspective of their usage within the field of financial risk management and derivative pricing. It involves a detailed analysis of the field of financial risk management and derivative pricing, and delves into the theoretical aspects.
Download or read book Copula Methods in Finance written by Umberto Cherubini and published by John Wiley & Sons. This book was released on 2004-10-22 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: Copula Methods in Finance is the first book to address the mathematics of copula functions illustrated with finance applications. It explains copulas by means of applications to major topics in derivative pricing and credit risk analysis. Examples include pricing of the main exotic derivatives (barrier, basket, rainbow options) as well as risk management issues. Particular focus is given to the pricing of asset-backed securities and basket credit derivative products and the evaluation of counterparty risk in derivative transactions.
Download or read book Copula Theory and Its Applications in Computer Networks written by Fang Dong and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Traffic modeling in computer networks has been researched for decades. A good model should reflect the features of real-world network traffic. With a good model, synthetic traffic data can be generated for experimental studies; network performance can be analysed mathematically; service provisioning and scheduling can be designed aligning with traffic changes. An important part of traffic modeling is to capture the dependence, either the dependence among different traffic flows or the temporal dependence within the same traffic flow. Nevertheless, the power of dependence models, especially those that capture the functional dependence, has not been fully explored in the domain of computer networks. This thesis studies copula theory, a theory to describe dependence between random variables, and applies it for better performance evaluation and network resource provisioning. We apply copula to model both contemporaneous dependence between traffic flows and temporal dependence within the same flow. The dependence models are powerful and capture the functional dependence beyond the linear scope. With numerical examples, real-world experiments and simulations, we show that copula modeling can benefit many applications in computer networks, including, for example, tightening performance bounds in statistical network calculus, capturing full dependence structure in Markov Modulated Poisson Process (MMPP), MMPP parameter estimation, and predictive resource provisioning for cloud-based composite services.
Download or read book Dependence Modeling with Copulas written by Harry Joe and published by CRC Press. This book was released on 2014-06-26 with total page 479 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dependence Modeling with Copulas covers the substantial advances that have taken place in the field during the last 15 years, including vine copula modeling of high-dimensional data. Vine copula models are constructed from a sequence of bivariate copulas. The book develops generalizations of vine copula models, including common and structured facto
Download or read book Analyzing Dependent Data with Vine Copulas written by Claudia Czado and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
