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Copula theory and its applications : proceedings of the workshop held in Warsaw, 25-26 September 2009

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目次 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 Niewęgłowski
Copula estimation
Barbara Choroś, 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
Tõnu 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.
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登録日 2020.06.27
更新日 2020.06.28