Copula theory and its applications : proceedings of the workshop held in Warsaw, 25-26 September 2009 / Piotr Jaworski ... [et al.], editors
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| Titolo: |
Copula theory and its applications : proceedings of the workshop held in Warsaw, 25-26 September 2009 / Piotr Jaworski ... [et al.], editors
|
| Pubblicazione: | Heidelberg : Springer, c2010 |
| Descrizione fisica: | xviii, 327 p. : ill. ; 23 cm |
| Disciplina: | 519.535 |
| Soggetto topico: | Copulas (Mathematical statistics) - Congresses |
| Classificazione: | AMS 62E10 |
| AMS 62H05 | |
| AMS 62H10 | |
| AMS 60E05 | |
| LC QA273.6.C667 | |
| Altri autori: |
Jaworski, Piotrauthor
Durante, Fabrizio
Härdle, Wolfgang Karl
Rychlik, Tomasz
|
| Nota di bibliografia: | Includes bibliographical references and index |
| Nota di contenuto: | Copula theroy : an introduction / Fabrizio Durante and Carlo Sempi ; Dynamic modeling of dependence in finance via copulae between stochastic processes / Tomasz R. Bielecki, Jacek Jakubowski and Mariusz Nieweglowski ; Copula estimation / Barbara Choros', Rustam Ibragimov and Elena Permiakova ; Pair-copula constructions of multivariate copulas / Claudia Czado ; Risk aggregation / Paul Embrechts and Giovanni Puccetti ; Extreme-value copulas / Gordon Gudendorf and Johan Segers ; Construction and sampling of nested Archimedean copulas / Marius Hofert ; Tail behaviour of copulas / Piotr Jaworski ; Copulae in reliability theory (order statistics, coherent systems) / Tomasz Rychlik ; Copula-based measures of multivariate association / Friedrich Schmid ... [et al.] ; Semi-copulas and interpretations of coincidences between stochastic dependence and ageing / Fabio Spizzichino ; A copula-based model for spatial and temporal dependence of equity markets / Umberto Cherubini ... [et al.] ; Nonparametric and semiparametric bivariate modeling of petrophysical porosity-permeability dependence from well log data / Arturo Erdely and Martin Diaz-Viera ; Testing under the extended Koziol-Green model / Auguste Gaddah and Roel Braekers ; Parameter estimation and application of the multivariate skew t-copula / Tonu Kollo and Gaida Pettere ; On analytical similarities of Archimedean and exchangeable Marshall-Olkin copulas / Jan-Frederik Mai and Matthias Schere ; Relationships between Archimedean copulas and Morgenstern utility functions / Jaap Spreeuw |
| ISBN: | 9783642124648 |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 991002027929707536 |
| Lo trovi qui: | Univ. del Salento |
| Localizzazioni e accesso elettronico | http://dx.doi.org/10.1007/978-3-642-12465-5 |
| Opac: | Controlla la disponibilità qui |
Serie:
Lecture notes in statistics - proceedings ; 198