Dependence Modeling with Copulas - Harry Joe
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This book covers recent advances in the field, including vine copula modeling of high-dimensional data. The author develops vine copula models and generalizations, discusses other multivariate constructions and parametric copula families, and presents dependence and tail properties to assist readers in copula model selection. He also covers inference, diagnostics, model comparison, numerical methods, and al ... Full description
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Description
This book covers recent advances in the field, including vine copula modeling of high-dimensional data. The author develops vine copula models and generalizations, discusses other multivariate constructions and parametric copula families, and presents dependence and tail properties to assist readers in copula model selection. He also covers inference, diagnostics, model comparison, numerical methods, and algorithms for copula applications. Software and code area available on the author's website.
More Information
| Author | Harry Joe |
|---|---|
| Publisher | Taylor & Francis Inc |
| Release year | 2014 |
| Cover type | Hardcover |
| EAN | 9781466583221 |