Download Copula Theory and Its Applications: Proceedings of the by Piotr Jaworski PDF

By Piotr Jaworski

Copulas are mathematical gadgets that totally catch the dependence constitution between random variables and therefore provide nice flexibility in development multivariate stochastic versions. seeing that their advent within the early 50's, copulas have received massive reputation in numerous fields of utilized arithmetic, similar to finance, assurance and reliability concept. this day, they symbolize a well-known software for marketplace and credits types, aggregation of hazards, portfolio choice, and so on. This publication is split into major elements: half I - "Surveys" comprises eleven chapters that offer an up to date account of crucial points of copula versions. half II - "Contributions" collects the prolonged models of 6 talks chosen from papers provided on the workshop in Warsaw.

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Additional resources for Copula Theory and Its Applications: Proceedings of the Workshop Held in Warsaw, 25-26 September 2009

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Commun. Stat. Theory Methods 33(10), 2299–2305 (2004) 157. : The lattice-theoretic structure of sets of bivariate copulas and quasi-copulas. C. R. Math. Acad. Sci. Paris 341(9), 583–586 (2005) 158. : A model for association in bivariate survival data. J. Roy. Stat. Soc. Ser. B 44(3), 414–422 (1982) 159. : Copulas: concepts and novel applications. Metron 61(3), 323–353 (2004) (2003) 160. : Copula-based models for financial time series. , Mikosch, T. ) Handbook of Financial Time Series, pp. 767–785.

Finance 9(7), 839–854 (2009) 68. : Elliptical copulas: applicability and limitations. Stat. Probab. Lett. 63(3), 275–286 (2003) 69. : On the simultaneous associativity of F(x, y) and x+y–F(x, y). Aequationes Math. 19(2–3), 194–226 (1979) 70. : Sur les tableaux de corrélation dont les marges sont données. Ann. Univ. Lyon. Sect. A. 14(3), 53–77 (1951) 71. : Sur les tableaux de corrélation dont les marges sont données. C. R. Acad. Sci. Paris 242, 2426–2428 (1956) 72. : Remarques au sujet de la note précédente.

Extremes in Nature. An Approach Using Copulas. Water Science and Technology Library, vol. 56. Springer, Dordrecht (NL) (2007) 1 Copula Theory: An Introduction 31 178. : Generalized normal correlation and two-dimensional Fréchet classes. Dokl. Akad. Nauk SSSR 168, 32–35 (1966) 179. : Copulae of probability measures on product spaces. J. Multivar. Anal. 31(2), 201–219 (1989) 180. : Copula-based measures of multivariate association. , Rychlik, T. ) Copula Theory and Its Applications, Proceedings of the Workshop, Warsaw, 25–26 Sept 2009.

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