Dependence Modeling with Copulas

Dependence Modeling with Copulas

Auteur: Harry Joe
Uitgever: CRC Press
Editie: 1
Publicatiedatum: 2014
ISBN: 9781032477374

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Dependence Modeling with Copulas covers the substantial advances that have taken place in the field during the last 15 years, including vine copula modeling of high-dimensional data. Vine copula models are constructed from a sequence of bivariate copulas. The book develops generalizations of vine copula models, including common and structured facto

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