Copulas and dependence models with applications
Author(s)
Bibliographic Information
Copulas and dependence models with applications
Springer, c2017
Available at 1 libraries
Note
Other editors: Enrique de Amo Artero, Fabrizio Durante, Juan Fernández Sánchez
Includes bibliographical references
Description and Table of Contents
Description
This book presents contributions and review articles on the theory of copulas and their applications. The authoritative and refereed contributions review the latest findings in the area with emphasis on "classical" topics like distributions with fixed marginals, measures of association, construction of copulas with given additional information, etc. The book celebrates the 75th birthday of Professor Roger B. Nelsen and his outstanding contribution to the development of copula theory. Most of the book's contributions were presented at the conference "Copulas and Their Applications" held in his honor in Almeria, Spain, July 3-5, 2017.
The chapter 'When Gumbel met Galambos' is published open access under a CC BY 4.0 license.
Table of Contents
Constructions of copulas under prescribed sections.- The Gumbel-Marshall-Olkin distribution.- A look at copulas in a curved mirror.- Copula-based clustering methods.- Copula-based piecewise regression.- When Gumbel met Galambos.- On the conditional Value-at-Risk (CoVaR) in copula setting.- Parametric copula families for statistical models.- Copula constructions using ultramodularity.- Operations on finite settings: From triangular norms to copulas.- My meetings with Roger B. Nelsen.- Improved Hoeffding-Frechet bounds and applications to VaR estimates.- Quasi-copulas: A brief survey.- Complete dependence everywhere?.- Sklar's theorem: The cornerstone of the theory of copulas.
by "Nielsen BookData"