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Dependence Modeling with Copulas

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Dependence Modeling with Copulas - Joe, Harry
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This book covers recent advances in the field, including vine copula modeling of high-dimensional data. The author develops vine copula models and generalizations, discusses other multivariate constructions and parametric copula families, and presents dependence and tail properties to assist readers in copula model selection. He also covers inference, diagnostics, model comparison, numerical methods, and algorithms for copula applications. Software and code area available on the author's website.

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Dependence Modeling with Copulas 2023, CRC Press

ISBN-13: 9781032477374

Trade paperback

Dependence Modeling with Copulas 2014, CRC Press, Oxford

ISBN-13: 9781466583221

Hardcover