2024
Hierarchical Archimedean Copulas
GÓRECKI, Jan and Ostap OKHRINBasic information
Original name
Hierarchical Archimedean Copulas
Authors
GÓRECKI, Jan (203 Czech Republic, guarantor, belonging to the institution) and Ostap OKHRIN (276 Germany)
Edition
online, 120 pp. SpringerBriefs in Applied Statistics and Econometrics, 2024
Publisher
Springer Nature
Other information
Language
English
Type of outcome
Book on a specialized topic
Field of Study
10201 Computer sciences, information science, bioinformatics
Confidentiality degree
is not subject to a state or trade secret
Publication form
electronic version available online
References:
RIV identification code
RIV/47813059:19520/24:A0000445
Organization unit
School of Business Administration in Karvina
ISBN
978-3-031-56336-2
Keywords in English
Hierarchical Archimedean Copulas; Copulas; Archimedean Copulas; Dependence Modeling;Temporal Models; Copula Software; Copula Modeling; HACs Sampling Algorithms; HAC Parameter Estimation; Copulas in Finance and Economics
Tags
Tags
International impact, Reviewed
Links
GA21-03085S, research and development project.
Changed: 4/3/2025 15:15, Miroslava Snopková
Abstract
In the original language
This book offers a thorough understanding of Hierarchical Archimedean Copulas (HACs) and their practical applications. It covers the basics of copulas, explores the Archimedean family, and delves into the specifics of HACs, including their fundamental properties. The text also addresses sampling algorithms, HAC parameter estimation, and structure, and highlights temporal models with applications in finance and economics. The final chapter introduces R, MATLAB, and Octave toolboxes for copula modeling, enabling students, researchers, data scientists, and practitioners to model complex dependence structures and make well-informed decisions across various domains.