Dependence Modeling Vine Copula Handbook

Download or read book Dependence Modeling written by Dorota Kurowicka and published by World Scientific Publishing Company Incorporated. This book was released on 2011 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.