Multivariate Models and Multivariate Dependence ConceptsThis book on multivariate models, statistical inference, and data analysis contains deep coverage of multivariate non-normal distributions for modeling of binary, count, ordinal, and extreme value response data. It is virtually self-contained, and includes many exercises and unsolved problems. |
Contents
Basic concepts of dependence 19 22206 | 19 |
Fréchet classes | 57 |
Construction of multivariate distributions | 83 |
Parametric families of copulas | 139 |
Multivariate extreme value distributions | 169 |
Multivariate discrete distributions | 209 |
Multivariate models with serial dependence | 243 |
Models from given conditional distributions | 283 |
Statistical inference and computation | 297 |
Data analysis and comparison of models | 323 |
Appendix | 373 |
| 383 | |
| 395 | |
Common terms and phrases
asymptotic Bernoulli Bernoulli distribution binomial bivariate copulas bivariate distributions bivariate margins compatibility conditional distributions correlation covariates decreasing density dependence structure derivatives estimates example exponential exponential family extreme value limit family B6 family of copulas Fréchet lower bound Fréchet upper bound Hence independent inequality inference infinitely divisible Kendall's tau likelihood log-likelihoods logistic logistic regressions m-variate Markov chain matrix max-id MEV distributions mixture multivariate binary multivariate distributions multivariate extension multivariate models multivariate probit multivariate probit model negative dependence non-negative obtained p₁ parametric families Poisson Poisson distribution positive dependence Pr(X Pr(Y probability probit model Proof properties random vector range of dependence regression sequence stationary Statist stochastic representation subsection survival function symmetric Table tail dependence parameter Theorem tion trivariate u₁ univariate univariate parameters upper tail dependence X₁ Y₁ Y₂
References to this book
Comparison Methods for Stochastic Models and Risks Alfred Müller,Dietrich Stoyan No preview available - 2002 |