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Hierarchical Archimedean Copulas

Hierarchical Archimedean Copulas

by Jan Górecki and Ostap Okhrin
Paperback
Publication Date: 19/06/2024

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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.
ISBN:
9783031563362
9783031563362
Category:
Mathematical & statistical software
Format:
Paperback
Publication Date:
19-06-2024
Language:
English
Publisher:
Springer
Country of origin:
United States
Dimensions (mm):
235x155mm

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