Hierarchical Archimedean Copulas

• Autore: Górecki Jan
• Pubblicazione: Cham : , : Springer International Publishing AG, , 2024; ©2024
• Edizione: 1st ed.
• Descrizione fisica: 1 online resource (128 pages)
• Altri autori: OkhrinOstap
• Nota di contenuto: Intro -- Preface -- Contents -- List of Symbols -- 1 Copulas -- 1.1 Introduction to Copulas -- 1.2 Bivariate Copulas -- 1.3 Simple Copulas -- 1.4 Elliptical Family -- 1.5 Dependence Measures -- 1.6 From Bivariate to Multivariate -- 1.7 Exercises -- 2 Archimedean Copulas -- 2.1 Bivariate AC -- 2.2 Archimedean Property and Triangular Norms -- 2.3 Parametric Families of ACs -- 2.4 Outer Power Transformation -- 2.5 Multivariate ACs -- 2.6 Exercises -- 3 Construction -- 3.1 Motivation for Hierarchical Structures -- 3.2 Trivariate HAC -- 3.3 Multivariate HAC -- 3.4 Nesting Conditions -- 3.5 Parametric Families of HACs -- 3.6 Identifiability -- 3.7 Binary vs. Non-binary Structures -- 3.8 Outer Power Transformations of HAC -- 3.9 Exercises -- 4 Properties -- 4.1 Bivariate Margins of HACs -- 4.2 Trivariate Structure Decomposition -- 4.3 Kendall's τ and Agglomerative Clustering -- 4.4 Further Properties -- 4.4.1 Dependence Orderings -- 4.4.2 Extreme Value Theory and Tail Dependency -- 4.4.3 Kendall Function of an HAC -- 4.5 Exercises -- 5 Sampling -- 5.1 Sampling Copulas -- 5.2 Sampling ACs -- 5.3 Sampling HACs -- 5.4 Sampling HOPACs -- 5.5 Exercises -- 6 Estimation -- 6.1 Estimation Framework -- 6.2 Structure Estimation -- 6.3 Diagonal Transformation -- 6.4 Likelihood-Based Approaches -- 6.5 Homogeneous HAC Estimation via Kendall's Tau -- 6.6 Exercises -- 7 Temporal Models and Their Applications -- 7.1 Temporal Dependency -- 7.1.1 Local Change Point Detection -- 7.1.2 Hidden Markov Models -- 7.2 Economic Applications -- 7.2.1 Collateralized Debt Obligations -- 7.2.2 Value-at-Risk Modeling -- 7.2.3 High-Frequency Trading -- 8 Software -- 8.1 R -- 8.1.1 Installation -- 8.1.2 Constructing HACs -- 8.1.3 Sampling HACs -- 8.1.4 Estimating HACs -- 8.2 MATLAB and Octave -- 8.2.1 Installation -- 8.2.2 Constructing HACs -- 8.2.3 Sampling HACs. ; 8.2.4 Estimating HACs -- 8.2.5 Auxiliaries -- 8.3 Exercises -- References.
• Titolo autorizzato: Hierarchical Archimedean Copulas
• ISBN: 3-031-56337-9
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910861088803321
• Lo trovi qui: Univ. Federico II
• Serie: SpringerBriefs in Applied Statistics and Econometrics Series