Detailed Information on Publication Record
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
Odborná kniha
Field of Study
10201 Computer sciences, information science, bioinformatics
Confidentiality degree
není předmětem státního či obchodního tajemství
Publication form
electronic version available online
References:
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
International impact, Reviewed
Links
GA21-03085S, research and development project.
Změněno: 27/10/2024 16:37, Ing. Jan Górecki, Ph.D.
Abstract
V originále
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.