Hierarchical Archimedean Copulas / by Jan Górecki, Ostap Okhrin.

Format:

Book

Author/Creator:

Górecki, Jan.

Contributor:

Okhrin, Ostap.

Series:

SpringerBriefs in Applied Statistics and Econometrics, 2524-4124

Language:

English

Subjects (All):

Statistics.

Probabilities.

Statistics--Computer programs.

Statistical Theory and Methods.

Statistics in Business, Management, Economics, Finance, Insurance.

Probability Theory.

Statistical Software.

Local Subjects:

Statistical Theory and Methods.

Statistics in Business, Management, Economics, Finance, Insurance.

Probability Theory.

Statistical Software.

Physical Description:

1 online resource (128 pages)

Edition:

1st ed. 2024.

Place of Publication:

Cham : Springer Nature Switzerland : Imprint: Springer, 2024.

Summary:

This book offers a thorough understanding of Hierarchical Archimedean Copulas (HACs) and their practical applications. It covers the basics of copulas, explores the Archimedean family, and delves into the specifics of HACs, including their fundamental properties. The text also addresses sampling algorithms, HAC parameter estimation, and structure, and highlights temporal models with applications in finance and economics. The final chapter introduces R, MATLAB, and Octave toolboxes for copula modeling, enabling students, researchers, data scientists, and practitioners to model complex dependence structures and make well-informed decisions across various domains.

Contents:

Preface

1 Copulas

2 Archimedean Copulas

3 Construction

4 Properties

5 Sampling

6 Estimation

7 Temporal Models and their Applications

8 Software.

ISBN:

9783031563379

3031563379

OCLC:

1434591481