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DEPENDENCE MODELING:Vine Copula Handbook

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Editor Info

  • Dorota Kurowicka
    (Delft University of Technology, The Netherlands)
  • Harry Joe
    (University of British Columbia, Canada)

Abstract

This book is a collaborative effort from three workshops held over the last three years, all involving principal contributors to the vine-copula methodology. Research and applications in vines have been growing rapidly and there is now a growing need to collate basic results, and standardize terminology and methods. Specifically, this handbook will (1) trace historical developments, standardizing notation and terminology, (2) summarize results on bivariate copulae, (3) summarize results for regular vines, and (4) give an overview of its applications. In addition, many of these results are new and not readily available in any existing journals. New research directions are also discussed.

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File URL: http://www.worldscientific.com/worldscibooks/10.1142/7699
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Bibliographic Info

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This book is provided by World Scientific Publishing Co. Pte. Ltd. in its series World Scientific Books with number 7699 and published in 2010.

ISBN: 9789814299879
Handle: RePEc:wsi:wsbook:7699

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Web page: http://ebooks.worldscinet.com/

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Related research

Keywords: Dependence Modeling; Joint Distributions; Copulae; Vines; Graphical Models; PCC;

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