Hierarchical Archimedean Copulas

2024
ISBN: 978-3-031-56336-2
Verlag: Springer Nature Switzerland

Buch, Englisch, 120 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 213 g

Reihe: SpringerBriefs in Applied Statistics and Econometrics

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.

Zielgruppe

Research

Autoren/Hrsg.

Okhrin, Ostap

Górecki, Jan

Fachgebiete

• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen
• Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung
• Mathematik | Informatik Mathematik Stochastik Mathematische Statistik
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse

Inhaltsverzeichnis

Preface.- 1 Copulas.- 2 Archimedean Copulas.- 3 Construction.- 4 Properties.- 5 Sampling.- 6 Estimation.- 7 Temporal Models and their Applications.- 8 Software.

Über Autor(innen)

Jan Górecki is an Assistant Professor at the Department of Informatics and Mathematics, School of Business Administration in Karviná, at the Silesian University in Opava, Czech Republic. He is engaged in research in the field of computational statistics, machine learning and large language models, and teaching courses focused on artificial intelligence and web development.

Ostap Okhrin is Professor of Econometrics and Statistics, especially in Transportation, at the Institute of Transport and Economics, TU Dresden, Germany. He has co-authored nearly 100 publications in the field of mathematical and applied statistics, econometrics, and reinforcement learning, with applications to finance, economics and autonomous driving.