EAN: 9783030137847

ANALYZING DEPENDENT DATA WITH VINE COPULAS - CL...

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 dependence and are vital to many applications in finance 
insurance  hydrology  marketing  engineering  chemistry  aviation  climatology and health. The
book explains the pair-copula construction principles underlying these statistical models and
discusses how to perform model selection and inference. It also derives simulation algorithms
and presents real-world examples to illustrate the methodological concepts. The book includes
numerous exercises that facilitate and deepen readers' understanding  and demonstrates how the
R package VineCopula can be used to explore and build statistical dependence models from
scratch. In closing  the book provides insights into recent developments and open research
questions in vine copula based modeling. The book is intended for students as well as
statisticians  data analysts and any other quantitatively oriented researchers who are new to
the field of vine copulas. Accordingly  it provides the necessary background in multivariate
statistics and copula theory for exploratory data tools  so that readers only need a basic
grasp of statistics and probability.

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