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Lecture Notes in Statistics

Analyzing Dependent Data with Vine Copulas

A Practical Guide With R

Autoren: Czado, Claudia

Vorschau
  • Offers a step-by-step introduction to vine copula based dependence modeling, including model selection and estimation methods for vine copulas
  • Features easy-to-follow derivations and illustrations to explain the underlying statistical concepts
  • Includes numerous exercises and real-world examples, and shows how to use the R package VineCopula to explore, build and compare vine based models
  • Provides an overview of the latest developments in vine copula modeling
Weitere Vorteile

Dieses Buch kaufen

eBook 53,54 €
Preis für Deutschland (Brutto)
  • ISBN 978-3-030-13785-4
  • Versehen mit digitalem Wasserzeichen, DRM-frei
  • Erhältliche Formate: PDF, EPUB
  • eBooks sind auf allen Endgeräten nutzbar
  • Sofortiger eBook Download nach Kauf
Softcover 69,54 €
Preis für Deutschland (Brutto)
  • ISBN 978-3-030-13784-7
  • Kostenfreier Versand für Individualkunden weltweit
  • Gewöhnlich versandfertig in 3-5 Werktagen.
Über dieses Lehrbuch

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.


Über den Autor

Claudia Czado is an Associate Professor of Applied Mathematical Statistics at the Technical University of Munich, Germany. Her research interests are in the dependence modeling of complex data structures, copula based quantile regression, generalized linear models and computational Bayesian methods, and the applications of these methods. She holds a Ph.D. in Operations Research and Industrial Engineering from Cornell University, USA.

Inhaltsverzeichnis (11 Kapitel)

Inhaltsverzeichnis (11 Kapitel)

Dieses Buch kaufen

eBook 53,54 €
Preis für Deutschland (Brutto)
  • ISBN 978-3-030-13785-4
  • Versehen mit digitalem Wasserzeichen, DRM-frei
  • Erhältliche Formate: PDF, EPUB
  • eBooks sind auf allen Endgeräten nutzbar
  • Sofortiger eBook Download nach Kauf
Softcover 69,54 €
Preis für Deutschland (Brutto)
  • ISBN 978-3-030-13784-7
  • Kostenfreier Versand für Individualkunden weltweit
  • Gewöhnlich versandfertig in 3-5 Werktagen.
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Bibliografische Information

Bibliographic Information
Buchtitel
Analyzing Dependent Data with Vine Copulas
Buchuntertitel
A Practical Guide With R
Autoren
Titel der Buchreihe
Lecture Notes in Statistics
Buchreihen Band
222
Copyright
2019
Verlag
Springer International Publishing
Copyright Inhaber
Springer Nature Switzerland AG
eBook ISBN
978-3-030-13785-4
DOI
10.1007/978-3-030-13785-4
Softcover ISBN
978-3-030-13784-7
Buchreihen ISSN
0930-0325
Auflage
1
Seitenzahl
XXIX, 242
Anzahl der Bilder
45 schwarz-weiß Abbildungen, 25 Abbildungen in Farbe
Themen