Introduction To Bayesian Estimation And Copula Models Of Dependence
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Author |
: Arkady Shemyakin |
Publisher |
: John Wiley & Sons |
Total Pages |
: 314 |
Release |
: 2017-03-20 |
ISBN-10 |
: 9781118959015 |
ISBN-13 |
: 1118959019 |
Rating |
: 4/5 (15 Downloads) |
Synopsis Introduction to Bayesian Estimation and Copula Models of Dependence by : Arkady Shemyakin
Presents an introduction to Bayesian statistics, presents an emphasis on Bayesian methods (prior and posterior), Bayes estimation, prediction, MCMC,Bayesian regression, and Bayesian analysis of statistical modelsof dependence, and features a focus on copulas for risk management Introduction to Bayesian Estimation and Copula Models of Dependence emphasizes the applications of Bayesian analysis to copula modeling and equips readers with the tools needed to implement the procedures of Bayesian estimation in copula models of dependence. This book is structured in two parts: the first four chapters serve as a general introduction to Bayesian statistics with a clear emphasis on parametric estimation and the following four chapters stress statistical models of dependence with a focus of copulas. A review of the main concepts is discussed along with the basics of Bayesian statistics including prior information and experimental data, prior and posterior distributions, with an emphasis on Bayesian parametric estimation. The basic mathematical background of both Markov chains and Monte Carlo integration and simulation is also provided. The authors discuss statistical models of dependence with a focus on copulas and present a brief survey of pre-copula dependence models. The main definitions and notations of copula models are summarized followed by discussions of real-world cases that address particular risk management problems. In addition, this book includes: • Practical examples of copulas in use including within the Basel Accord II documents that regulate the world banking system as well as examples of Bayesian methods within current FDA recommendations • Step-by-step procedures of multivariate data analysis and copula modeling, allowing readers to gain insight for their own applied research and studies • Separate reference lists within each chapter and end-of-the-chapter exercises within Chapters 2 through 8 • A companion website containing appendices: data files and demo files in Microsoft® Office Excel®, basic code in R, and selected exercise solutions Introduction to Bayesian Estimation and Copula Models of Dependence is a reference and resource for statisticians who need to learn formal Bayesian analysis as well as professionals within analytical and risk management departments of banks and insurance companies who are involved in quantitative analysis and forecasting. This book can also be used as a textbook for upper-undergraduate and graduate-level courses in Bayesian statistics and analysis. ARKADY SHEMYAKIN, PhD, is Professor in the Department of Mathematics and Director of the Statistics Program at the University of St. Thomas. A member of the American Statistical Association and the International Society for Bayesian Analysis, Dr. Shemyakin's research interests include informationtheory, Bayesian methods of parametric estimation, and copula models in actuarial mathematics, finance, and engineering. ALEXANDER KNIAZEV, PhD, is Associate Professor and Head of the Department of Mathematics at Astrakhan State University in Russia. Dr. Kniazev's research interests include representation theory of Lie algebras and finite groups, mathematical statistics, econometrics, and financial mathematics.
Author |
: Harry Joe |
Publisher |
: World Scientific |
Total Pages |
: 370 |
Release |
: 2011 |
ISBN-10 |
: 9789814299886 |
ISBN-13 |
: 981429988X |
Rating |
: 4/5 (86 Downloads) |
Synopsis Dependence Modeling by : Harry Joe
1. Introduction : Dependence modeling / D. Kurowicka -- 2. Multivariate copulae / M. Fischer -- 3. Vines arise / R.M. Cooke, H. Joe and K. Aas -- 4. Sampling count variables with specified Pearson correlation : A comparison between a naive and a C-vine sampling approach / V. Erhardt and C. Czado -- 5. Micro correlations and tail dependence / R.M. Cooke, C. Kousky and H. Joe -- 6. The Copula information criterion and Its implications for the maximum pseudo-likelihood estimator / S. Gronneberg -- 7. Dependence comparisons of vine copulae with four or more variables / H. Joe -- 8. Tail dependence in vine copulae / H. Joe -- 9. Counting vines / O. Morales-Napoles -- 10. Regular vines : Generation algorithm and number of equivalence classes / H. Joe, R.M. Cooke and D. Kurowicka -- 11. Optimal truncation of vines / D. Kurowicka -- 12. Bayesian inference for D-vines : Estimation and model selection / C. Czado and A. Min -- 13. Analysis of Australian electricity loads using joint Bayesian inference of D-vines with autoregressive margins / C. Czado, F. Gartner and A. Min -- 14. Non-parametric Bayesian belief nets versus vines / A. Hanea -- 15. Modeling dependence between financial returns using pair-copula constructions / K. Aas and D. Berg -- 16. Dynamic D-vine model / A. Heinen and A. Valdesogo -- 17. Summary and future directions / D. Kurowicka
Author |
: Harry Joe |
Publisher |
: CRC Press |
Total Pages |
: 483 |
Release |
: 2014-06-26 |
ISBN-10 |
: 9781466583221 |
ISBN-13 |
: 1466583223 |
Rating |
: 4/5 (21 Downloads) |
Synopsis Dependence Modeling with Copulas by : Harry Joe
Dependence Modeling with Copulas covers the substantial advances that have taken place in the field during the last 15 years, including vine copula modeling of high-dimensional data. Vine copula models are constructed from a sequence of bivariate copulas. The book develops generalizations of vine copula models, including common and structured factor models that extend from the Gaussian assumption to copulas. It also discusses other multivariate constructions and parametric copula families that have different tail properties and presents extensive material on dependence and tail properties to assist in copula model selection. The author shows how numerical methods and algorithms for inference and simulation are important in high-dimensional copula applications. He presents the algorithms as pseudocode, illustrating their implementation for high-dimensional copula models. He also incorporates results to determine dependence and tail properties of multivariate distributions for future constructions of copula models.
Author |
: Claudia Czado |
Publisher |
: Springer |
Total Pages |
: 261 |
Release |
: 2019-05-14 |
ISBN-10 |
: 9783030137854 |
ISBN-13 |
: 3030137856 |
Rating |
: 4/5 (54 Downloads) |
Synopsis Analyzing Dependent Data with Vine Copulas by : Claudia Czado
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.
Author |
: Michael S. Smith |
Publisher |
: |
Total Pages |
: 0 |
Release |
: 2015 |
ISBN-10 |
: OCLC:1376301755 |
ISBN-13 |
: |
Rating |
: 4/5 (55 Downloads) |
Synopsis Bayesian Approaches to Copula Modelling by : Michael S. Smith
Copula models have become one of the most widely used tools in the applied modelling of multivariate data. Similarly, Bayesian methods are increasingly used to obtain efficient likelihood-based inference. However, to date, there has been only limited use of Bayesian approaches in the formulation and estimation of copula models. This article aims to address this shortcoming in two ways. First, to introduce copula models and aspects of copula theory that are especially relevant for a Bayesian analysis. Second, to outline Bayesian approaches to formulating and estimating copula models, and their advantages over alternative methods. Copulas covered include Archimedean, copulas constructed by inversion, and vine copulas; along with their interpretation as transformations. A number of parameterisations of a correlation matrix of a Gaussian copula are considered, along with hierarchical priors that allow for Bayesian selection and model averaging for each parameterisation. Markov chain Monte Carlo sampling schemes for fitting Gaussian and D-vine copulas, with and without selection, are given in detail. The relationship between the prior for the parameters of a D-vine, and the prior for a correlation matrix of a Gaussian copula, is discussed. Last, it is shown how to compute Bayesian inference when the data are discrete-valued using data augmentation. This approach generalises popular Bayesian methods for the estimation of models for multivariate binary and other ordinal data to more general copula models. Bayesian data augmentation has substantial advantages over other methods of estimation for this class of models.
Author |
: Paul Damien |
Publisher |
: Oxford University Press |
Total Pages |
: 717 |
Release |
: 2013-01-24 |
ISBN-10 |
: 9780199695607 |
ISBN-13 |
: 0199695601 |
Rating |
: 4/5 (07 Downloads) |
Synopsis Bayesian Theory and Applications by : Paul Damien
This volume guides the reader along a statistical journey that begins with the basic structure of Bayesian theory, and then provides details on most of the past and present advances in this field.
Author |
: Paul Damien |
Publisher |
: OUP Oxford |
Total Pages |
: 717 |
Release |
: 2013-01-24 |
ISBN-10 |
: 9780191647000 |
ISBN-13 |
: 0191647004 |
Rating |
: 4/5 (00 Downloads) |
Synopsis Bayesian Theory and Applications by : Paul Damien
The development of hierarchical models and Markov chain Monte Carlo (MCMC) techniques forms one of the most profound advances in Bayesian analysis since the 1970s and provides the basis for advances in virtually all areas of applied and theoretical Bayesian statistics. This volume guides the reader along a statistical journey that begins with the basic structure of Bayesian theory, and then provides details on most of the past and present advances in this field. The book has a unique format. There is an explanatory chapter devoted to each conceptual advance followed by journal-style chapters that provide applications or further advances on the concept. Thus, the volume is both a textbook and a compendium of papers covering a vast range of topics. It is appropriate for a well-informed novice interested in understanding the basic approach, methods and recent applications. Because of its advanced chapters and recent work, it is also appropriate for a more mature reader interested in recent applications and developments, and who may be looking for ideas that could spawn new research. Hence, the audience for this unique book would likely include academicians/practitioners, and could likely be required reading for undergraduate and graduate students in statistics, medicine, engineering, scientific computation, business, psychology, bio-informatics, computational physics, graphical models, neural networks, geosciences, and public policy. The book honours the contributions of Sir Adrian F. M. Smith, one of the seminal Bayesian researchers, with his papers on hierarchical models, sequential Monte Carlo, and Markov chain Monte Carlo and his mentoring of numerous graduate students -the chapters are authored by prominent statisticians influenced by him. Bayesian Theory and Applications should serve the dual purpose of a reference book, and a textbook in Bayesian Statistics.
Author |
: J.E. Trinidad-Segovia |
Publisher |
: MDPI |
Total Pages |
: 418 |
Release |
: 2021-02-12 |
ISBN-10 |
: 9783036501963 |
ISBN-13 |
: 3036501967 |
Rating |
: 4/5 (63 Downloads) |
Synopsis Quantitative Methods for Economics and Finance by : J.E. Trinidad-Segovia
This book is a collection of papers for the Special Issue “Quantitative Methods for Economics and Finance” of the journal Mathematics. This Special Issue reflects on the latest developments in different fields of economics and finance where mathematics plays a significant role. The book gathers 19 papers on topics such as volatility clusters and volatility dynamic, forecasting, stocks, indexes, cryptocurrencies and commodities, trade agreements, the relationship between volume and price, trading strategies, efficiency, regression, utility models, fraud prediction, or intertemporal choice.
Author |
: Avideh Sabeti |
Publisher |
: |
Total Pages |
: |
Release |
: 2013 |
ISBN-10 |
: OCLC:1033169154 |
ISBN-13 |
: |
Rating |
: 4/5 (54 Downloads) |
Synopsis Bayesian Inference for Bivariate Conditional Copula Models with Continuous Or Mixed Outcomes by : Avideh Sabeti
Author |
: Dimitris Potoglou |
Publisher |
: Edward Elgar Publishing |
Total Pages |
: 537 |
Release |
: 2024-04-12 |
ISBN-10 |
: 9781839105746 |
ISBN-13 |
: 1839105747 |
Rating |
: 4/5 (46 Downloads) |
Synopsis Handbook of Travel Behaviour by : Dimitris Potoglou
This insightful Handbook offers a comprehensive and diverse understanding of the determinants of travel behaviour, looking at the ways in which it can be better understood, modelled and forecasted. Dimitris Potoglou and Justin Spinney bring together an international range of esteemed academics who explore the origins of the field, research analysis methods, environmental considerations, and social factors. This title contains one or more Open Access chapters.