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This book introduces the main theoretical findings related to copulas and shows how statistical modeling of multivariate continuous distributions using copulas can be carried out in the R statistical environment with the package copula (among others). Copulas are multivariate distribution functions with standard uniform univariate margins. They are increasingly applied to modeling dependence among random variables in fields such as risk management, actuarial science, insurance, finance, engineering, hydrology, climatology, and meteorology, to name a few.
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Use R !
MariusHofert· IvanKojadinovic
MartinMächler· JunYan
Elements
of Copula
Modeling
with R
Use R!
Series editors
Robert Gentleman Kurt Hornik Giovanni Parmigiani
Marius Hofert • Ivan Kojadinovic •
Martin M¨achler • Jun Yan
Elements of Copula
Modeling with R
123
Marius Hofert
Department of Statistics and Actuarial
Science
University of Waterloo
Waterloo, Ontario, Canada
Ivan Kojadinovic
Laboratory of Mathematics and its
Applications
University of Pau and Pays de l’Adour
Pau, France
Martin M¨achler
Seminar for Statistics
ETH Zurich
Zurich, Switzerland
Jun Yan
Department of Statistics
University of Connecticut
Storrs, Connecticut, USA
ISSN 2197-5736 ISSN 2197-5744 (electronic)
Use R!
ISBN 978-3-319-89634-2 ISBN 978-3-319-89635-9 (eBook)
https://doi.org/10.1007/978-3-319-89635-9
Library of Congress Control Number: 2018940269
Mathematics Subject Classification (2010): 62H05, 65C10, 62H12, 62H15, 62P05, 62P12, 65C60
© Springer International Publishing AG, part of Springer Nature 2018
This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of
the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation,
broadcasting, reproduction on microfilms or in any other physical way, and transmission or information
storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology
now known or hereafter developed.
The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication
does not imply, even in the absence of a specific statement, that such names are exempt from the relevant
protective laws and regulations and therefore free for general use.
The publisher, the authors and the editors are safe to assume that the advice and information in this book
are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or
the editors give a warranty, express or implied, with respect to the material contained herein or for any
errors or omissions that may have been made. The publisher remains neutral with regard to jurisdictional
claims in published maps and institutional affiliations.
This Springer imprint is published by the registered company Springer Nature Switzerland AG
The registered company address is: Gewerbestrasse 11, 6330 Cham, Switzerland
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- alto13942020-01-11Elements of Copula Modeling with R Marius Hofert · Ivan Kojadinovic Martin Mächler · Jun Yan Springer (2010)
niu1981
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