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Hierarchical archimedean copulas

Record Type:	Electronic resources : Monograph/item
Title/Author:	Hierarchical archimedean copulasby Jan Górecki, Ostap Okhrin.
Author:	Górecki, Jan.
other author:	Okhrin, Ostap.
Published:	Cham :Springer Nature Switzerland :2024.
Description:	xii, 120 p. :ill. (some col.), digital ;24 cm.
Contained By:	Springer Nature eBook
Subject:	Copulas (Mathematical statistics)
Online resource:	https://doi.org/10.1007/978-3-031-56337-9
ISBN:	9783031563379$q(electronic bk.)

Hierarchical archimedean copulas
Górecki, Jan.

Hierarchical archimedean copulas[electronic resource] /by Jan Górecki, Ostap Okhrin. - Cham :Springer Nature Switzerland :2024. - xii, 120 p. :ill. (some col.), digital ;24 cm. - SpringerBriefs in applied statistics and econometrics,2524-4124. - SpringerBriefs in applied statistics and econometrics..

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

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.

ISBN: 9783031563379$q(electronic bk.)

Standard No.: 10.1007/978-3-031-56337-9doiSubjects--Topical Terms:

247625
Copulas (Mathematical statistics)

LC Class. No.: QA273.6

Dewey Class. No.: 519.24

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