Hierarchical Archimedean Copulas (SpringerBriefs in Applied Statistics and Econometrics)
by: Jan Górecki (Author),Ostap Okhrin(Author)
Publisher: Springer
Edition:2024th
Publication Date: May 16, 2024
Language: English
Print Length: 132 pages
ISBN-10: 3031563360
ISBN-13: 9783031563362
Book Description
This book offers a thorough understanding of Hierarchical Archimedean Copulas (HACs) and their practical applications. It covers the basics of copulas, explores the Archimedean family, and delves into the specifics of HACs, including their fundamental properties. The text also addresses sampling algorithms, HAC parameter estimation, and structure, and highlights temporal models with applications in finance and economics. The final chapter introduces R, MATLAB, and Octave toolboxes for copula modeling, enabling students, researchers, data scientists, and practitioners to model complex dependence structures and make well-informed decisions across various domains.
This book offers a thorough understanding of Hierarchical Archimedean Copulas (HACs) and their practical applications. It covers the basics of copulas, explores the Archimedean family, and delves into the specifics of HACs, including their fundamental properties. The text also addresses sampling algorithms, HAC parameter estimation, and structure, and highlights temporal models with applications in finance and economics. The final chapter introduces R, MATLAB, and Octave toolboxes for copula modeling, enabling students, researchers, data scientists, and practitioners to model complex dependence structures and make well-informed decisions across various domains.
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