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Found 100 Documents (Results 1–100)

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Copulas and tail dependence in finance. (English) Zbl 1455.62200

Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2499-2524 (2021).
MSC:  62P05 62H05
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Copula grow-shrink algorithm for structural learning. (English) Zbl 1436.62188

Greselin, Francesca (ed.) et al., Statistical learning of complex data. Selected papers of the 11th scientific meeting of the Classification and Data Analysis Group of the Italian Statistical Society (CLADAG 2017), Milan, Italy, September 13–15, 2017. Cham: Springer. Stud. Classification Data Anal. Knowl. Organ., 163-171 (2019).
MSC:  62H05 68T05 62H20
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Multivariate doubly-inflated negative binomial distribution using Gaussian copula. (English) Zbl 1434.62084

Diawara, Norou (ed.), Modern statistical methods for spatial and multivariate data. Cham: Springer. STEAM-H, Sci. Technol. Eng. Agric. Math. Health, 147-161 (2019).
MSC:  62H05 62H10
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Frequentist and Bayesian small-sample confidence intervals for Gini’s gamma index in a Gaussian bivariate copula. (English) Zbl 1414.62170

Crocetta, Corrado (ed.), Theoretical and applied statistics. In honour of Corrado Gini – SIS 2015. Selected papers of the conference of the Italian Statistical Society: “Statistics and Demography – the Legacy of Corrado Gini”, Treviso, Italy, September 9–11, 2015. Cham: Springer. Springer Proc. Math. Stat. 274, 49-60 (2019).
MSC:  62H05 62G15
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Saddlepoint approximation methods in financial engineering. (English) Zbl 1414.62005

SpringerBriefs in Quantitative Finance. Cham: Springer (ISBN 978-3-319-74100-0/pbk; 978-3-319-74101-7/ebook). x, 128 p. (2018).
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Nonlinear Monte Carlo schemes for counterparty risk on credit derivatives. (English) Zbl 1398.91668

Glau, Kathrin (ed.) et al., Innovations in derivatives markets. Fixed income modeling, valuation adjustments, risk management, and regulation. Proceedings of the conference, Munich, Germany, March 30 – April 1, 2015. Cham: Springer Open (ISBN 978-3-319-33445-5/hbk; 978-3-319-33446-2/ebook). Springer Proceedings in Mathematics & Statistics 165, 53-82 (2016).
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A note on learning dependence under severe uncertainty. (English) Zbl 1420.62249

Laurent, Anne (ed.) et al., Information processing and management of uncertainty in knowledge-based systems. 15th international conference, IPMU 2014, Montpellier, France, July 15–19, 2014. Proceedings. Part III. Cham: Springer. Commun. Comput. Inf. Sci. 444, 498-507 (2014).
MSC:  62H12 62H05 62P10
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Imputation by Gaussian copula model with an application to incomplete customer satisfaction data. (English) Zbl 1436.62186

Lechevallier, Yves (ed.) et al., Proceedings of COMPSTAT’2010. 19th international conference on computational statistics, Paris, France, August 22–27, 2010. Keynote, invited and contributed papers. Heidelberg: Physica Verlag. 485-492 (2010).
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