Counting Statistics for Dependent Random Events With a Focus on Finance
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- Engels
- Hardcover
- 9783030642495
- 23 maart 2021
- 206 pagina's
Samenvatting
This book on counting statistics presents a novel copula-based approach to counting dependent random events. It combines clustering, combinatorics-based algorithms and dependence structure in order to tackle and simplify complex problems, without disregarding the hierarchy of or interconnections between the relevant variables. These problems typically arise in real-world applications and computations involving big data in finance, insurance and banking, where experts are confronted with counting variables in monitoring random events.
In this new approach, combinatorial distributions of random events are the core element. In order to deal with the high-dimensional features of the problem, the combinatorial techniques are used together with a clustering approach, where groups of variables sharing common characteristics and similarities are identified and the dependence structure within groups is taken into account. The original problems can then be modeled using new classes of copulas, referred to here as clusterized copulas, which are essentially based on preliminary groupings of variables depending on suitable characteristics and hierarchical aspects.
The book includes examples and real-world data applications, with a special focus on financial applications, where the new algorithms’ performance is compared to alternative approaches and further analyzed. Given its scope, the book will be of interest to master students, PhD students and researchers whose work involves or can benefit from the innovative methodologies put forward here. It will also stimulate the empirical use of new approaches among professionals and practitioners in finance, insurance and banking.
Productspecificaties
Inhoud
- Taal
- en
- Bindwijze
- Hardcover
- Oorspronkelijke releasedatum
- 23 maart 2021
- Aantal pagina's
- 206
Betrokkenen
- Hoofdauteur
- Enrico Bernardi
- Tweede Auteur
- Silvia Romagnoli
- Hoofduitgeverij
- Springer Nature Switzerland AG
Overige kenmerken
- Editie
- 1st ed. 2021
- Product breedte
- 155 mm
- Product lengte
- 235 mm
- Studieboek
- Nee
- Verpakking breedte
- 155 mm
- Verpakking hoogte
- 235 mm
- Verpakking lengte
- 235 mm
- Verpakkingsgewicht
- 500 g
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- EAN
- 9783030642495
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