Dependence Modeling with Copulas

ISBN: 9781466583221 出版年：2014 页码：479 Joe, Harry CRC Press

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