Elements of Copula Modeling with R
-10%
portes grátis
Elements of Copula Modeling with R
; ; ;
Springer International Publishing AG
01/2019
267
Mole
Inglês
9783319896342
15 a 20 dias
Descrição não disponível.
Preface 51 Introduction 91.1 A motivating example . . . . . . . . . . . . . . . . . . . . . . . . . . . 91.2 Probability and quantile transformations . . . . . . . . . . . . . . . . . 111.3 Copulas . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 121.4 Structure and philosophy of the book . . . . . . . . . . . . . . . . . . . 141.5 Additional references . . . . . . . . . . . . . . . . . . . . . . . . . . . . 152 Copulas 172.1 Denition and characterization . . . . . . . . . . . . . . . . . . . . . . 172.2 The Frechet{Hoeding bounds . . . . . . . . . . . . . . . . . . . . . . . 272.3 Sklar's Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 302.4 The invariance principle . . . . . . . . . . . . . . . . . . . . . . . . . . 442.5 Survival copulas and copula symmetries . . . . . . . . . . . . . . . . . 492.6 Measures of association . . . . . . . . . . . . . . . . . . . . . . . . . . . 542.6.1 Fallacies related to the correlation coecient . . . . . . . . . . . 552.6.2 Rank correlation measures . . . . . . . . . . . . . . . . . . . . . 602.6.3 Tail dependence coecients . . . . . . . . . . . . . . . . . . . . . 672.7 Rosenblatt transform and conditional sampling . . . . . . . . . . . . . 763 Classes and families 873.1 Elliptical distributions and copulas . . . . . . . . . . . . . . . . . . . . 873.1.1 Elliptical distributions . . . . . . . . . . . . . . . . . . . . . . . . 873.1.2 Elliptical copulas . . . . . . . . . . . . . . . . . . . . . . . . . . 923.2 Archimedean copulas . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1023.3 Extreme-value copulas . . . . . . . . . . . . . . . . . . . . . . . . . . . 1163.4 Selected copula transformations and constructions . . . . . . . . . . . . 1223.4.1 Rotated copulas . . . . . . . . . . . . . . . . . . . . . . . . . . . 1223.4.2 Khoudraji's device . . . . . . . . . . . . . . . . . . . . . . . . . . 1263.4.3 Mixtures of copulas . . . . . . . . . . . . . . . . . . . . . . . . . 1324 Estimation 1374.1 Estimation under a parametric assumption on the copula . . . . . . . . 1374.1.1 Parametrically estimated margins . . . . . . . . . . . . . . . . . 1384.1.2 Non-parametrically estimated margins . . . . . . . . . . . . . . . 1424.1.3 Estimators of elliptical copula parameters . . . . . . . . . . . . . 1514.1.4 Other semi-parametric estimators . . . . . . . . . . . . . . . . . 1564.1.5 Estimation of copula models with partly xed parameters . . . . 1564.2 Non-parametric estimation of the copula . . . . . . . . . . . . . . . . . 1614.2.1 The empirical copula . . . . . . . . . . . . . . . . . . . . . . . . 1614.2.2 Under extreme-value dependence . . . . . . . . . . . . . . . . . . 1645 Graphical diagnostics, tests and model selection 1675.1 Basic graphical diagnostics . . . . . . . . . . . . . . . . . . . . . . . . . 1675.2 Hypothesis tests . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1735.2.1 Tests of independence . . . . . . . . . . . . . . . . . . . . . . . . 1735.2.2 Tests of exchangeability . . . . . . . . . . . . . . . . . . . . . . . 1755.2.3 A test of radial symmetry . . . . . . . . . . . . . . . . . . . . . . 1775.2.4 Tests of extreme-value dependence . . . . . . . . . . . . . . . . . 1785.2.5 Goodness-of-t tests . . . . . . . . . . . . . . . . . . . . . . . . . 1815.2.6 A mixture of graphical and formal goodness-of-t tests . . . . . 1885.3 Model selection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1896 Ties, time series and regression 1956.1 Ties . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1966.2 Selected copula tests and models for time series . . . . . . . . . . . . . 2146.2.1 Tests of stationarity . . . . . . . . . . . . . . . . . . . . . . . . . 2146.2.2 Tests of serial independence . . . . . . . . . . . . . . . . . . . . 2256.2.3 Models for multivariate time series based on conditional copulas 2296.3 Regression . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 235A R and package versions 251References 255Index 267
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Preface 51 Introduction 91.1 A motivating example . . . . . . . . . . . . . . . . . . . . . . . . . . . 91.2 Probability and quantile transformations . . . . . . . . . . . . . . . . . 111.3 Copulas . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 121.4 Structure and philosophy of the book . . . . . . . . . . . . . . . . . . . 141.5 Additional references . . . . . . . . . . . . . . . . . . . . . . . . . . . . 152 Copulas 172.1 Denition and characterization . . . . . . . . . . . . . . . . . . . . . . 172.2 The Frechet{Hoeding bounds . . . . . . . . . . . . . . . . . . . . . . . 272.3 Sklar's Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 302.4 The invariance principle . . . . . . . . . . . . . . . . . . . . . . . . . . 442.5 Survival copulas and copula symmetries . . . . . . . . . . . . . . . . . 492.6 Measures of association . . . . . . . . . . . . . . . . . . . . . . . . . . . 542.6.1 Fallacies related to the correlation coecient . . . . . . . . . . . 552.6.2 Rank correlation measures . . . . . . . . . . . . . . . . . . . . . 602.6.3 Tail dependence coecients . . . . . . . . . . . . . . . . . . . . . 672.7 Rosenblatt transform and conditional sampling . . . . . . . . . . . . . 763 Classes and families 873.1 Elliptical distributions and copulas . . . . . . . . . . . . . . . . . . . . 873.1.1 Elliptical distributions . . . . . . . . . . . . . . . . . . . . . . . . 873.1.2 Elliptical copulas . . . . . . . . . . . . . . . . . . . . . . . . . . 923.2 Archimedean copulas . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1023.3 Extreme-value copulas . . . . . . . . . . . . . . . . . . . . . . . . . . . 1163.4 Selected copula transformations and constructions . . . . . . . . . . . . 1223.4.1 Rotated copulas . . . . . . . . . . . . . . . . . . . . . . . . . . . 1223.4.2 Khoudraji's device . . . . . . . . . . . . . . . . . . . . . . . . . . 1263.4.3 Mixtures of copulas . . . . . . . . . . . . . . . . . . . . . . . . . 1324 Estimation 1374.1 Estimation under a parametric assumption on the copula . . . . . . . . 1374.1.1 Parametrically estimated margins . . . . . . . . . . . . . . . . . 1384.1.2 Non-parametrically estimated margins . . . . . . . . . . . . . . . 1424.1.3 Estimators of elliptical copula parameters . . . . . . . . . . . . . 1514.1.4 Other semi-parametric estimators . . . . . . . . . . . . . . . . . 1564.1.5 Estimation of copula models with partly xed parameters . . . . 1564.2 Non-parametric estimation of the copula . . . . . . . . . . . . . . . . . 1614.2.1 The empirical copula . . . . . . . . . . . . . . . . . . . . . . . . 1614.2.2 Under extreme-value dependence . . . . . . . . . . . . . . . . . . 1645 Graphical diagnostics, tests and model selection 1675.1 Basic graphical diagnostics . . . . . . . . . . . . . . . . . . . . . . . . . 1675.2 Hypothesis tests . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1735.2.1 Tests of independence . . . . . . . . . . . . . . . . . . . . . . . . 1735.2.2 Tests of exchangeability . . . . . . . . . . . . . . . . . . . . . . . 1755.2.3 A test of radial symmetry . . . . . . . . . . . . . . . . . . . . . . 1775.2.4 Tests of extreme-value dependence . . . . . . . . . . . . . . . . . 1785.2.5 Goodness-of-t tests . . . . . . . . . . . . . . . . . . . . . . . . . 1815.2.6 A mixture of graphical and formal goodness-of-t tests . . . . . 1885.3 Model selection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1896 Ties, time series and regression 1956.1 Ties . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1966.2 Selected copula tests and models for time series . . . . . . . . . . . . . 2146.2.1 Tests of stationarity . . . . . . . . . . . . . . . . . . . . . . . . . 2146.2.2 Tests of serial independence . . . . . . . . . . . . . . . . . . . . 2256.2.3 Models for multivariate time series based on conditional copulas 2296.3 Regression . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 235A R and package versions 251References 255Index 267
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
