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Author : Ivan Kojadinovic
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (475 download)
Download or read book Fast Goodness of Fit Tests for Copulas written by Ivan Kojadinovic and published by . This book was released on 2008 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Volker Rehbock
Publisher :
ISBN 13 :
Total Pages : 96 pages
Book Rating : 4.:/5 (31 download)
Download or read book Goodness-of-Fit Tests for Copulas of Dependent Observations written by Volker Rehbock and published by . This book was released on 2008 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wei Lu
Publisher : Open Dissertation Press
ISBN 13 : 9781361292426
Total Pages : pages
Book Rating : 4.2/5 (924 download)
Download or read book On Some Goodness-Of-Fit Tests for Copulas written by Wei Lu and published by Open Dissertation Press. This book was released on 2017-01-26 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "On Some Goodness-of-fit Tests for Copulas" by Wei, Lu, 吕薇, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: Copulas have been known in the statistical literature for many years, and have become useful tools in modeling dependence structure of multivariate random variables, overcoming some of the drawbacks of the commonly-used correlation measures. Goodness-of-fit tests for copulas play a very important role in evaluating the suitability of a potential input copula model. In recent years, many approaches have been proposed for constructing goodness-of-fit tests for copula families. Among them, the so-called "blanket tests" do not require an arbitrary data categorization or any strategic choice of weight function, smoothing parameter, kernel, and so on. As preliminaries, some background and related results of copulas are firstly presented. Three goodness-of-fit test statistics belonging to the blanket test classification are then introduced. Since the asymptotic distributions of the test statistics are very complicated, parametric bootstrap procedures are employed to approximate critical values of the test statistics under the null hypotheses. To assess the performance of the three test statistics in the low dependence cases, simulation studies are carried out for three bivariate copula families, namely the Gumbel-Hougaard copula family, the Ali-Mikhail-Haq copula family, and the Farlie-Gumbel-Morgenstern copula family. Specifically the effect of low dependence on the empirical sizes and powers of the three blanket tests under various combinations of null and alternative copula families are examined. Furthermore, to check the performance of the three tests for higher dimensional copulas, the simulation studies are extended to some three-dimensional copulas. Finally the three goodness-of-fit tests are applied to two real data sets. DOI: 10.5353/th_b4784996 Subjects: Copulas (Mathematical statistics) Goodness-of-fit tests
Author : Wei Lü (M. Phil.)
Publisher :
ISBN 13 :
Total Pages : 103 pages
Book Rating : 4.:/5 (8 download)
Download or read book On Some Goodness-of-fit Tests for Copulas written by Wei Lü (M. Phil.) and published by . This book was released on 2012 with total page 103 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jean-David Fermanian
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (248 download)
Download or read book Goodness of Fit Tests for Copulas written by Jean-David Fermanian and published by . This book was released on 2003 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : 吕薇
Publisher :
ISBN 13 :
Total Pages : 103 pages
Book Rating : 4.:/5 (798 download)
Download or read book On Some Goodness-of-fit Tests for Copulas written by 吕薇 and published by . This book was released on 2012 with total page 103 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Harry Joe
Publisher : CRC Press
ISBN 13 : 1466583223
Total Pages : 483 pages
Book Rating : 4.4/5 (665 download)
Download or read book Dependence Modeling with Copulas written by Harry Joe and published by CRC Press. This book was released on 2014-06-26 with total page 483 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dependence Modeling with Copulas covers the substantial advances that have taken place in the field during the last 15 years, including vine copula modeling of high-dimensional data. Vine copula models are constructed from a sequence of bivariate copulas. The book develops generalizations of vine copula models, including common and structured factor models that extend from the Gaussian assumption to copulas. It also discusses other multivariate constructions and parametric copula families that have different tail properties and presents extensive material on dependence and tail properties to assist in copula model selection. The author shows how numerical methods and algorithms for inference and simulation are important in high-dimensional copula applications. He presents the algorithms as pseudocode, illustrating their implementation for high-dimensional copula models. He also incorporates results to determine dependence and tail properties of multivariate distributions for future constructions of copula models.
Author : Fateh Chebana
Publisher : Elsevier
ISBN 13 : 0323959075
Total Pages : 222 pages
Book Rating : 4.3/5 (239 download)
Download or read book Multivariate Frequency Analysis of Hydro-Meteorological Variables written by Fateh Chebana and published by Elsevier. This book was released on 2022-11-16 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: Multivariate Frequency Analysis of Hydro-Meteorological Variables: A Copula-Based Approach provides comprehensive and detailed descriptions of the approaches and techniques used in multivariate frequency analysis (including, but not limited to copula functions), with illustrative examples and real-life case studies provided. The book presents all background material and new developments in one place, presenting the material in a homogeneous and pedagogical way in order to allow students, engineers and researchers to access and efficiently use all information surrounding this topic. This reference can be used as a guide to apply the available and recent approaches to evaluate hydro-meteorological risks, to design hydraulic structures, in teaching (faculty members), and as a literature review to go to the next steps in research projects (graduate students and postdocs). - Presents methods for analysis of hydro-meteorological risks followed by illustrative examples based on real life data sets - Provides definitions throughout on all new topics and key terms - Includes case studies and real-life examples covering a variety of situations and showing how this work can be applied in the reader's own work
Author : Piotr Jaworski
Publisher : Springer Science & Business Media
ISBN 13 : 3642354076
Total Pages : 299 pages
Book Rating : 4.6/5 (423 download)
Download or read book Copulae in Mathematical and Quantitative Finance written by Piotr Jaworski and published by Springer Science & Business Media. This book was released on 2013-06-18 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Since their introduction in the early 1950s, copulas have gained considerable popularity in several fields of applied mathematics, especially finance and insurance. Today, copulas represent a well-recognized tool for market and credit models, aggregation of risks, and portfolio selection. Historically, the Gaussian copula model has been one of the most common models in credit risk. However, the recent financial crisis has underlined its limitations and drawbacks. In fact, despite their simplicity, Gaussian copula models severely underestimate the risk of the occurrence of joint extreme events. Recent theoretical investigations have put new tools for detecting and estimating dependence and risk (like tail dependence, time-varying models, etc) in the spotlight. All such investigations need to be further developed and promoted, a goal this book pursues. The book includes surveys that provide an up-to-date account of essential aspects of copula models in quantitative finance, as well as the extended versions of talks selected from papers presented at the workshop in Cracow.
Author : Humberto Bustince Sola
Publisher : Springer Science & Business Media
ISBN 13 : 3642391656
Total Pages : 535 pages
Book Rating : 4.6/5 (423 download)
Download or read book Aggregation Functions in Theory and in Practise written by Humberto Bustince Sola and published by Springer Science & Business Media. This book was released on 2013-06-20 with total page 535 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume collects the extended abstracts of 45 contributions of participants to the Seventh International Summer School on Aggregation Operators (AGOP 2013), held at Pamplona in July, 16-20, 2013. These contributions cover a very broad range, from the purely theoretical ones to those with a more applied focus. Moreover, the summaries of the plenary talks and tutorials given at the same workshop are included. Together they provide a good overview of recent trends in research in aggregation functions which can be of interest to both researchers in Physics or Mathematics working on the theoretical basis of aggregation functions, and to engineers who require them for applications.
Author : Dipak K. Dey
Publisher : CRC Press
ISBN 13 : 1498701310
Total Pages : 538 pages
Book Rating : 4.4/5 (987 download)
Download or read book Extreme Value Modeling and Risk Analysis written by Dipak K. Dey and published by CRC Press. This book was released on 2016-01-06 with total page 538 pages. Available in PDF, EPUB and Kindle. Book excerpt: Extreme Value Modeling and Risk Analysis: Methods and Applications presents a broad overview of statistical modeling of extreme events along with the most recent methodologies and various applications. The book brings together background material and advanced topics, eliminating the need to sort through the massive amount of literature on the subje
Author : Marius Hofert
Publisher : Springer
ISBN 13 : 3319896350
Total Pages : 274 pages
Book Rating : 4.3/5 (198 download)
Download or read book Elements of Copula Modeling with R written by Marius Hofert and published by Springer. This book was released on 2019-01-09 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Miriam Angelika Jaser
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (124 download)
Download or read book Goodness-of-fit Tests for Elliptical Copulas written by Miriam Angelika Jaser and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tam Cong Huynh
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (885 download)
Download or read book Goodness of Fit Tests for GARCH-Copula Models written by Tam Cong Huynh and published by . This book was released on 2014 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jerald F. Lawless
Publisher : CRC Press
ISBN 13 : 1482236230
Total Pages : 386 pages
Book Rating : 4.4/5 (822 download)
Download or read book Statistics in Action written by Jerald F. Lawless and published by CRC Press. This book was released on 2014-03-03 with total page 386 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commissioned by the Statistical Society of Canada (SSC), Statistics in Action: A Canadian Outlook helps both general readers and users of statistics better appreciate the scope and importance of statistics. It presents the ways in which statistics is used while highlighting key contributions that Canadian statisticians are making to science, technology, business, government, and other areas. The book emphasizes the role and impact of computing in statistical modeling and analysis, including the issues involved with the huge amounts of data being generated by automated processes. The first two chapters review the development of statistics as a discipline in Canada and describe some major contributions to survey methodology made by Statistics Canada, one of the world’s premier official statistics agencies. The book next discusses how statistical methodologies, such as functional data analysis and the Metropolis algorithm, are applied in a wide variety of fields, including risk management and genetics. It then focuses on the application of statistical methods in medicine and public health as well as finance and e-commerce. The remainder of the book addresses how statistics is used to study critical scientific areas, including difficult-to-access populations, endangered species, climate change, and agricultural forecasts. About the SSC Founded in Montréal in 1972, the SSC is the main professional organization for statisticians and related professionals in Canada. Its mission is to promote the use and development of statistics and probability. The SSC publishes the bilingual quarterly newsletter SSC Liaison and the peer-reviewed scientific journal The Canadian Journal of Statistics. More information can be found at www.ssc.ca.
Author : Amir AghaKouchak
Publisher : Springer Science & Business Media
ISBN 13 : 9400744781
Total Pages : 430 pages
Book Rating : 4.4/5 (7 download)
Download or read book Extremes in a Changing Climate written by Amir AghaKouchak and published by Springer Science & Business Media. This book was released on 2012-10-24 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a collection of the state-of-the-art methodologies and approaches suggested for detecting extremes, trend analysis, accounting for nonstationarities, and uncertainties associated with extreme value analysis in a changing climate. This volume is designed so that it can be used as the primary reference on the available methodologies for analysis of climate extremes. Furthermore, the book addresses current hydrometeorologic global data sets and their applications for global scale analysis of extremes. While the main objective is to deliver recent theoretical concepts, several case studies on extreme climate conditions are provided. Audience The book is suitable for teaching in graduate courses in the disciplines of Civil and Environmental Engineering, Earth System Science, Meteorology and Atmospheric Sciences.
Author : Piotr Jaworski
Publisher : Springer Science & Business Media
ISBN 13 : 3642124658
Total Pages : 338 pages
Book Rating : 4.6/5 (421 download)
Download or read book Copula Theory and Its Applications written by Piotr Jaworski and published by Springer Science & Business Media. This book was released on 2010-07-16 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt: Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Since their introduction in the early 50's, copulas have gained considerable popularity in several fields of applied mathematics, such as finance, insurance and reliability theory. Today, they represent a well-recognized tool for market and credit models, aggregation of risks, portfolio selection, etc. This book is divided into two main parts: Part I - "Surveys" contains 11 chapters that provide an up-to-date account of essential aspects of copula models. Part II - "Contributions" collects the extended versions of 6 talks selected from papers presented at the workshop in Warsaw.
