AUTORS
Hofert, Marius
NOSAUKUMS
Elements of Copula Modeling with R / by Marius Hofert, Ivan Kojadinovic, Martin Machler, Jun Yan.
IZDEVUMS
1st ed. 2018
APJOMS
1 online resource (X, 267 pages 597 illustrations, 21 illustrations in color.)
SATURS
Preface -- Introduction -- Copulas -- Classes and Families -- Estimation -- Graphical Diagnostics, Tests and Model Selection -- Ties, Time Series and Regression -- R and Package Versions -- References -- Index.
TEMATI
Statistics for Business, Management, Economics, Finance, Insurance
Mathematical and Computational Engineering Mathematical Software Quantitative Finance Statistics and Computing/Statistics Programs Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences
CITI AUTORI
Kojadinovic, Ivan author
Machler, Martin author Yan, Jun author
ISBN
9783319896359
ISMN
10.1007/978-3-319-89635-9 doi
UDK INDEKSS
311
|
Fonds | Adrese | Skaits | Plaukts | |
---|---|---|---|---|
Finanšu stabilitātes pārvalde | 1 | |||
Anotācija
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).
Copulas are multivariate distribution functions with standard uniform univariate margins. They are increasingly applied to modeling dependence among random variables in fields such as risk management, actuarial science, insurance, finance, engineering, hydrology, climatology, and meteorology, to name a few.
In the spirit of the Use R! series, each chapter combines key theoretical definitions or results with illustrations in R. Aimed at statisticians, actuaries, risk managers, engineers and environmental scientists wanting to learn about the theory and practice of copula modeling using R without an overwhelming amount of mathematics, the book can also be used for teaching a course on copula modeling.