Analyzing Dependent Data with Vine Copulas
Claudia Czado
Broschiertes Buch

Analyzing Dependent Data with Vine Copulas

A Practical Guide With R

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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...