Jan Górecki: Hierarchical Archimedean Copulas

Cover: 9783031563362 | Hierarchical Archimedean Copulas | Jan Górecki (u. a.) | Taschenbuch

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Sprache: Englisch

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Beschreibung

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.

Über den Autor

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.

Inhaltsverzeichnis

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

Details

Erscheinungsjahr:	2024
Fachbereich:	Wahrscheinlichkeitstheorie
Genre:	Mathematik , Medizin , Naturwissenschaften , Technik
Rubrik:	Naturwissenschaften & Technik
Medium:	Taschenbuch
Inhalt:	xii 120 S. 21 s/w Illustr. 7 farbige Illustr. 120 p. 28 illus. 7 illus. in color.
ISBN-13:	9783031563362
ISBN-10:	3031563360
Sprache:	Englisch
Herstellernummer:	978-3-031-56336-2
Einband:	Kartoniert / Broschiert
Autor:	Górecki, Jan Okhrin, Ostap
Hersteller:	Springer Springer International Publishing AG
Verantwortliche Person für die EU:	Springer Verlag GmbH, Tiergartenstr. 17, D-69121 Heidelberg, juergen.hartmann@springer.com
Maße:	235 x 155 x 8 mm
Von/Mit:	Jan Górecki (u. a.)
Erscheinungsdatum:	26.05.2024
Gewicht:	0,213 kg