Название: Elements of Copula Modeling with R
Автор: Marius Hofert, Ivan Kojadinovic
Издательство: Springer
Серия: Use R!
Год: 2019
Страниц: 274
Язык: английский
Формат: pdf (true)
Размер: 65.4 MB

The aim of this book is to show how some of the main steps involved in the statistical modeling of continuous multivariate distributions using copulas can be carried out in the R statistical environment with the R package copula. The R package copula originally emerged from the authors’ research interests; it has been available on the Comprehensive R Archive Network (CRAN) since 2005 and has been under constant development ever since. Judging from users’ feedback, the package is applied in areas such as hydrology, environmental sciences, quantitative risk management, insurance, and finance.

Compared to existing monographs on copulas, the originality of this book is to illustrate how theoretical concepts can be applied in practice with the R package copula. To this end, numerous stand-alone examples are provided. This is both of pedagogical and of practical interest as the R source code and reproduced outputs such as figures not only allow one to better understand the subtleties of the theoretical notions but also enable one to solve real-world problems in the various fields of interest.

The book targets (possibly future) statisticians and (financial, hydrological, and other) engineers alike who would like to understand how theoretical notions and practical computations around copula modeling can be applied in R without an overwhelming amount of mathematics. Readers are nonetheless expected to have a basic knowledge of (multivariate) probability and statistics, in particular of random vectors, simulation algorithms, estimation methods, and statistical tests.