Analyzing and Modeling Multivariate Association

Analyzing and Modeling Multivariate Association
- Statistical Measures and Pair-Copula Constructions
Schnieders, Julius
Preis 55,00inkl. ges. MwSt.
ISBN 978-3-8441-0229-1
Bestell-Nr. 0229C
Gewicht 334 g
Warengruppe Multidisziplinäre Reihen
Sachgruppe Quantitative Ökonomie
Einband broschiert
Sprache Englisch
Umfang 228
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Inhaltsverzeichnis

1. Introduction

2. Copulas and Dependence Concepts
2.1. Theory of Copulas
2.2. Parametric Copula Families
2.3. Survival and rotated copulas
2.4. The empirical copula
2.5. Measures of Association

3. Association of Random Vectors
3.1. Notation and definitions
3.2. Established measures of association
3.3. Copula based measures of association
3.4. Statistical estimation of the measures
3.5. Empirical example
3.6. Influence of outliers
3.7. Conclusion

4. Pair-Copula Constructions
4.1. Pair-Copula Constructions
4.2. Conditional distribution functions
4.3. Vines
4.4. Simplified PCCs
4.5. Estimation of Pair-Copula Constructions
4.6. Simulation Techniques
4.7. Conclusion

5. Model Selection for Pair-Copula Constructions
5.1. Model Selection for bivariate copulas
5.2. Goodness-of-Fit
5.3. Model selection for Vine Structures
5.4. Simulation Study
5.5. Application to Empirical Datasets
5.6. Conclusion

6. Application of Pair-Copula Constructions
6.1. Dynamic PCC Models: An Application with Value-at-Risk Forecasting
6.2. Spatial dependence in wind and optimal wind power allocation

Über den Autor

Julius Schnieders, born in 1983, studied Mathematics with a focus on Statistics in Münster and Madrid. He finished his studies in 2008 and became a member of the Graduate School of Risk Management at the University of Cologne. In 2012, he completed his doctoral studies in Statistics at the Chair of Economic and Social Statistics of Prof. Dr. Friedrich Schmid. He has written articles on dependence modeling, and has given presentations on this subject at several international conferences.

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