Ergebnisse für: pair copula
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Embrechts et al. (1999) haben in ihrer richtungsweisenden Arbeit gezeigt, dass die lineare Korrelation kein geeignetes Maß ist, um die Abhängigkeit zwischen zwei nicht-normal bzw. allgemeiner nicht-elliptisch verteilten Zufallsvariablen zu beschreiben. Als eine Alternative werden sogenannte Copula...
Many applications in quantitative finance, such as the estimation of the Value-at-Risk of a portfolio, require the modeling of dependencies of a large number of random variables. The most popular approach is Pearson’s correlation coefficient, which is based on the covariance, i. e. the mixed secon...
This textbook provides a step-by-step introduction to the class of vine copulas, their statistical inference and applications. It focuses on statistical estimation and selection methods for vine copulas in data applications. These flexible copula models can successfully accommodate any form of tail ...
This textbook provides a step-by-step introduction to the class of vine copulas, their statistical inference and applications. It focuses on statistical estimation and selection methods for vine copulas in data applications. These flexible copula models can successfully accommodate any form of tail ...
Entropy theory has wide applications to a range of problems in the fields of environmental and water engineering, including river hydraulic geometry, fluvial hydraulics, water monitoring network design, river flow forecasting, floods and droughts, river network analysis, infiltration, soil moisture,...