Copula theory and its applications
Subtitle: proceedings of the workshop held in Warsaw, 25-26 September 2009
By: Piotr Jaworski ... [et al.], editors
Series: Lecture notes in statistics--proceedings -- 198
Publisher: Springer
Published: 2010
Place of publication: Heidelberg; New York
Language: eng
Number of pages: 327
ISBN-13: 9783642124648; 9783642124655
Subjects: Congresses; Copulas (Mathematical statistics)
Description: "Copulas are mathematical objects that fully capture the dependence structure among random variables, and hence offer great flexibility in building multivariate stochastic models" --Book cover.
Notes: Includes bibliographical references and index.
Table of contents: title: Copula theroy : an introduction / Fabrizio Durante and Carlo Sempi; title: Dynamic modeling of dependence in finance via copulae between stochastic processes / Tomasz R. Bielecki, Jacek Jakubowski and Mariusz Niewęgłowski; title: Copula estimation / Barbara Choroś, Rustam Ibragimov and Elena Permiakova; title: Pair-copula constructions of multivariate copulas / Claudia Czado; title: Risk aggregation / Paul Embrechts and Giovanni Puccetti; title: Extreme-value copulas / Gordon Gudendorf and Johan Segers; title: Construction and sampling of nested Archimedean copulas / Marius Hofert; title: Tail behaviour of copulas / Piotr Jaworski; title: Copulae in reliability theory (order statistics, coherent systems) / Tomasz Rychlik; title: Copula-based measures of multivariate association / Friedrich Schmid ... [et al.]; title: Semi-copulas and interpretations of coincidences between stochastic dependence and ageing / Fabio Spizzichino; title: A copula-based model for spatial and temporal dependence of equity markets / Umberto Cherubini ... [et al.]; title: Nonparametric and semiparametric bivariate modeling of petrophysical porosity-permeability dependence from well log data / Arturo Erdely and Martin Diaz-Viera; title: Testing under the extended Koziol-Green model / Auguste Gaddah and Roel Braekers; title: Parameter estimation and application of the multivariate skew t-copula / Tõnu Kollo and Gaida Pettere; title: On analytical similarities of Archimedean and exchangeable Marshall-Olkin copulas / Jan-Frederik Mai and Matthias Schere; title: Relationships between Archimedean copulas and Morgenstern utility functions / Jaap Spreeuw.