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Convex Optimization with Computational Errors (Springer Optimization and Its Applications #155)
by Alexander J. ZaslavskiThe book is devoted to the study of approximate solutions of optimization problems in the presence of computational errors. It contains a number of results on the convergence behavior of algorithms in a Hilbert space, which are known as important tools for solving optimization problems. The research presented in the book is the continuation and the further development of the author's (c) 2016 book Numerical Optimization with Computational Errors, Springer 2016. Both books study the algorithms taking into account computational errors which are always present in practice. The main goal is, for a known computational error, to find out what an approximate solution can be obtained and how many iterates one needs for this. The main difference between this new book and the 2016 book is that in this present book the discussion takes into consideration the fact that for every algorithm, its iteration consists of several steps and that computational errors for different steps are generally, different. This fact, which was not taken into account in the previous book, is indeed important in practice. For example, the subgradient projection algorithm consists of two steps. The first step is a calculation of a subgradient of the objective function while in the second one we calculate a projection on the feasible set. In each of these two steps there is a computational error and these two computational errors are different in general. It may happen that the feasible set is simple and the objective function is complicated. As a result, the computational error, made when one calculates the projection, is essentially smaller than the computational error of the calculation of the subgradient. Clearly, an opposite case is possible too. Another feature of this book is a study of a number of important algorithms which appeared recently in the literature and which are not discussed in the previous book. This monograph contains 12 chapters. Chapter 1 is an introduction. In Chapter 2 we study the subgradient projection algorithm for minimization of convex and nonsmooth functions. We generalize the results of [NOCE] and establish results which has no prototype in [NOCE]. In Chapter 3 we analyze the mirror descent algorithm for minimization of convex and nonsmooth functions, under the presence of computational errors. For this algorithm each iteration consists of two steps. The first step is a calculation of a subgradient of the objective function while in the second one we solve an auxiliary minimization problem on the set of feasible points. In each of these two steps there is a computational error. We generalize the results of [NOCE] and establish results which has no prototype in [NOCE]. In Chapter 4 we analyze the projected gradient algorithm with a smooth objective function under the presence of computational errors. In Chapter 5 we consider an algorithm, which is an extension of the projection gradient algorithm used for solving linear inverse problems arising in signal/image processing. In Chapter 6 we study continuous subgradient method and continuous subgradient projection algorithm for minimization of convex nonsmooth functions and for computing the saddle points of convex-concave functions, under the presence of computational errors. All the results of this chapter has no prototype in [NOCE]. In Chapters 7-12 we analyze several algorithms under the presence of computational errors which were not considered in [NOCE]. Again, each step of an iteration has a computational errors and we take into account that these errors are, in general, different. An optimization problems with a composite objective function is studied in Chapter 7. A zero-sum game with two-players is considered in Chapter 8. A predicted decrease approximation-based method is used in Chapter 9 for constrained convex optimization. Chapter 10 is devoted to minimization of quasiconvex functions. Minimization of sharp weakly convex functions is discussed
Convex Optimization: Introductory Course
by Mikhail MoklyachukThis book provides easy access to the basic principles and methods for solving constrained and unconstrained convex optimization problems. Included are sections that cover: basic methods for solving constrained and unconstrained optimization problems with differentiable objective functions; convex sets and their properties; convex functions and their properties and generalizations; and basic principles of sub-differential calculus and convex programming problems. Convex Optimization provides detailed proofs for most of the results presented in the book and also includes many figures and exercises for a better understanding of the material. Exercises are given at the end of each chapter, with solutions and hints to selected exercises given at the end of the book. Undergraduate and graduate students, researchers in different disciplines, as well as practitioners will all benefit from this accessible approach to convex optimization methods.
Convex Optimization—Theory, Algorithms and Applications: RTCOTAA-2020, Patna, India, October 29–31 (Springer Proceedings in Mathematics & Statistics #476)
by Shashi Kant Mishra Balendu Bhooshan Upadhyay Pierre MaréchalThis volume includes chapters on topics presented at the conference on Recent Trends in Convex Optimization: Theory, Algorithms and Applications (RTCOTAA-2020), held at the Department of Mathematics, Indian Institute of Technology Patna, Bihar, India, from 29–31 October 2020. It discusses a comprehensive exploration of the realm of optimization, encompassing both the theoretical underpinnings and the multifaceted real-life implementations of the optimization theory. It meticulously features essential optimization concepts, such as convex analysis, generalized convexity, monotonicity, etc., elucidating their theoretical advancements and significance in the optimization sphere. Multiobjective optimization is a pivotal topic which addresses the inherent difficulties faced in conflicting objectives. The book delves into various theoretical concepts and covers some practical algorithmic approaches to solve multiobjective optimization, such as the line search and the enhanced non-monotone quasi-Newton algorithms. It also deliberates on several other significant topics in optimization, such as the perturbation approach for vector optimization, and solution methods for set-valued optimization. Nonsmooth optimization is extensively covered, with in-depth discussions on various well-known tools of nonsmooth analysis, such as convexificators, limiting subdifferentials, tangential subdifferentials, quasi-differentials, etc. Notable optimization algorithms, such as the interior point algorithm and Lemke’s algorithm, are dissected in detail, offering insights into their applicability and effectiveness. The book explores modern applications of optimization theory, for instance, optimized image encryption, resource allocation, target tracking problems, deep learning, entropy optimization, etc. Ranging from gradient-based optimization algorithms to metaheuristic approaches such as particle swarm optimization, the book navigates through the intersection of optimization theory and deep learning, thereby unravelling new research perspectives in artificial intelligence, machine learning and other fields of modern science. Designed primarily for graduate students and researchers across a variety of disciplines such as mathematics, operations research, electrical and electronics engineering, computer science, robotics, deep learning, image processing and artificial intelligence, this book serves as a comprehensive resource for someone interested in exploring the multifaceted domain of mathematical optimization and its myriad applications.
Convex Stochastic Optimization: Dynamic Programming and Duality in Discrete Time (Probability Theory and Stochastic Modelling #107)
by Teemu Pennanen Ari-Pekka PerkkiöThis book studies a general class of convex stochastic optimization (CSO) problems that unifies many common problem formulations from operations research, financial mathematics and stochastic optimal control. We extend the theory of dynamic programming and convex duality to allow for a unified and simplified treatment of various special problem classes found in the literature. The extensions allow also for significant generalizations to existing problem formulations. Both dynamic programming and duality have played crucial roles in the development of various optimality conditions and numerical techniques for the solution of convex stochastic optimization problems.
Convex Surfaces (Dover Books on Mathematics)
by Herbert BusemannIn this self-contained geometry text, the author describes the main results of convex surface theory, providing all definitions and precise theorems. The first half focuses on extrinsic geometry and applications of the Brunn-Minkowski theory. The second part examines intrinsic geometry and the realization of intrinsic metrics.Starting with a brief overview of notations and terminology, the text proceeds to convex curves, the theorems of Meusnier and Euler, extrinsic Gauss curvature, and the influence of the curvature on the local shape of a surface. A chapter on the Brunn-Minkowski theory and its applications is followed by examinations of intrinsic metrics, the metrics of convex hypersurfaces, geodesics, angles, triangulations, and the Gauss-Bonnet theorem. The final chapter explores the rigidity of convex polyhedra, the realization of polyhedral metrics, Weyl's problem, local realization of metrics with non-negative curvature, open and closed surfaces, and smoothness of realizations.
Convexity and Concentration (The IMA Volumes in Mathematics and its Applications #161)
by Eric Carlen Mokshay Madiman Elisabeth M. WernerThis volume presents some of the research topics discussed at the 2014-2015 Annual Thematic Program Discrete Structures: Analysis and Applications at the Institute of Mathematics and its Applications during the Spring 2015 where geometric analysis, convex geometry and concentration phenomena were the focus. Leading experts have written surveys of research problems, making state of the art results more conveniently and widely available. The volume is organized into two parts. Part I contains those contributions that focus primarily on problems motivated by probability theory, while Part II contains those contributions that focus primarily on problems motivated by convex geometry and geometric analysis. This book will be of use to those who research convex geometry, geometric analysis and probability directly or apply such methods in other fields.
Convexity and Discrete Geometry Including Graph Theory: Mulhouse, France, September 2014 (Springer Proceedings in Mathematics & Statistics #148)
by Karim Adiprasito Imre Bárány Costin VilcuThis volume presents easy-to-understand yet surprising properties obtained using topological, geometric and graph theoretic tools in the areas covered by the Geometry Conference that took place in Mulhouse, France from September 7-11, 2014 in honour of Tudor Zamfirescu on the occasion of his 70th anniversary. The contributions address subjects in convexity and discrete geometry, in distance geometry or with geometrical flavor in combinatorics, graph theory or non-linear analysis. Written by top experts, these papers highlight the close connections between these fields, as well as ties to other domains of geometry and their reciprocal influence. They offer an overview on recent developments in geometry and its border with discrete mathematics, and provide answers to several open questions. The volume addresses a large audience in mathematics, including researchers and graduate students interested in geometry and geometrical problems.
Convexity and Optimization in Banach Spaces (Springer Monographs in Mathematics)
by Viorel Barbu Teodor PrecupanuAn updated and revised edition of the 1986 title Convexity and Optimization in Banach Spaces, this book provides a self-contained presentation of basic results of the theory of convex sets and functions in infinite-dimensional spaces. The main emphasis is on applications to convex optimization and convex optimal control problems in Banach spaces. A distinctive feature is a strong emphasis on the connection between theory and application. This edition has been updated to include new results pertaining to advanced concepts of subdifferential for convex functions and new duality results in convex programming. The last chapter, concerned with convex control problems, has been rewritten and completed with new research concerning boundary control systems, the dynamic programming equations in optimal control theory and periodic optimal control problems. Finally, the structure of the book has been modified to highlight the most recent progression in the field including fundamental results on the theory of infinite-dimensional convex analysis and includes helpful bibliographical notes at the end of each chapter.
Convexity from the Geometric Point of View (Cornerstones)
by Horst Martini Vitor Balestro Ralph TeixeiraThis text gives a comprehensive introduction to the “common core” of convex geometry. Basic concepts and tools which are present in all branches of that field are presented with a highly didactic approach. Mainly directed to graduate and advanced undergraduates, the book is self-contained in such a way that it can be read by anyone who has standard undergraduate knowledge of analysis and of linear algebra. Additionally, it can be used as a single reference for a complete introduction to convex geometry, and the content coverage is sufficiently broad that the reader may gain a glimpse of the entire breadth of the field and various subfields. The book is suitable as a primary text for courses in convex geometry and also in discrete geometry (including polytopes). It is also appropriate for survey type courses in Banach space theory, convex analysis, differential geometry, and applications of measure theory. Solutions to all exercises are available to instructors who adopt the text for coursework.Most chapters use the same structure with the first part presenting theory and the next containing a healthy range of exercises. Some of the exercises may even be considered as short introductions to ideas which are not covered in the theory portion. Each chapter has a notes section offering a rich narrative to accompany the theory, illuminating the development of ideas, and providing overviews to the literature concerning the covered topics. In most cases, these notes bring the reader to the research front. The text includes many figures that illustrate concepts and some parts of the proofs, enabling the reader to have a better understanding of the geometric meaning of the ideas. An appendix containing basic (and geometric) measure theory collects useful information for convex geometers.
Convexity from the Geometric Point of View: Exercises and Solutions (Cornerstones)
by Horst Martini Vitor Balestro Ralph TeixeiraThis book provides the solutions to all 347 exercises contained in the text Convexity from the Geometric Point of View, published in the same Cornerstones series. All these exercises are restated and numbered analogously to those in the original text. The corresponding solutions follow each exercise. Besides the discussion of all solutions, some additional facts about the main text are sprinkled throughout. Sections of further reading are posted to the ends of each chapter supplying the reader with background literature to selected notions and tools that play a role in the exercises and/or solutions to the chapter. The original text gives a comprehensive introduction to the “common core” of convex geometry and is suitable as a primary text for courses in convex geometry and in discrete geometry (including polytopes). Additionally, it can be used as a single reference for a complete introduction to convex geometry. The content coverage is sufficiently broad that the reader may gain a glimpse of the entire breadth of the field, various subfields, and interesting connections to neighboring disciplines. Mainly directed to graduate and advanced undergraduates, the original text is self-contained in such a way that it can be read by anyone who has standard undergraduate knowledge of analysis and of linear algebra. The same is true for this book of solutions.
Convexity in Newton's Method (Frontiers in Mathematics)
by Miguel Ángel Hernández Verón José Antonio Ezquerro FernándezThis monograph examines a variety of iterative methods in Banach spaces with a focus on those obtained from the Newton method. Together with the authors&’ previous two volumes on the topic of the Newton method in Banach spaces, this third volume significantly extends Kantorovich's initial theory. It accomplishes this by emphasizing the influence of the convexity of the function involved, showing how improved iterative methods can be obtained that build upon those introduced in the previous two volumes. Each chapter presents theoretical results and illustrates them with applications to nonlinear equations, including scalar equations, integral equations, boundary value problems, and more. Convexity in Newton's Method will appeal to researchers interested in the theory of the Newton method as well as other iterative methods in Banach spaces.
Convexity: An Analytic Viewpoint
by Barry SimonConvexity is important in theoretical aspects of mathematics and also for economists and physicists. In this monograph the author provides a comprehensive insight into convex sets and functions including the infinite-dimensional case and emphasizing the analytic point of view. Chapter one introduces the reader to the basic definitions and ideas that play central roles throughout the book. The rest of the book is divided into four parts: convexity and topology on infinite-dimensional spaces; Loewner's theorem; extreme points of convex sets and related issues, including the Krein–Milman theorem and Choquet theory; and a discussion of convexity and inequalities. The connections between disparate topics are clearly explained, giving the reader a thorough understanding of how convexity is useful as an analytic tool. A final chapter overviews the subject's history and explores further some of the themes mentioned earlier. This is an excellent resource for anyone interested in this central topic.
Convolution Copula Econometrics (SpringerBriefs in Statistics)
by Umberto Cherubini Sabrina Mulinacci Fabio GobbiThis book presents a novel approach to time series econometrics, which studies the behavior of nonlinear stochastic processes. This approach allows for an arbitrary dependence structure in the increments and provides a generalization with respect to the standard linear independent increments assumption of classical time series models. The book offers a solution to the problem of a general semiparametric approach, which is given by a concept called C-convolution (convolution of dependent variables), and the corresponding theory of convolution-based copulas. Intended for econometrics and statistics scholars with a special interest in time series analysis and copula functions (or other nonparametric approaches), the book is also useful for doctoral students with a basic knowledge of copula functions wanting to learn about the latest research developments in the field.
Convolution and Equidistribution: Sato-Tate Theorems for Finite-Field Mellin Transforms (AM-180) (Annals of Mathematics Studies #180)
by Nicholas M. KatzConvolution and Equidistribution explores an important aspect of number theory--the theory of exponential sums over finite fields and their Mellin transforms--from a new, categorical point of view. The book presents fundamentally important results and a plethora of examples, opening up new directions in the subject. The finite-field Mellin transform (of a function on the multiplicative group of a finite field) is defined by summing that function against variable multiplicative characters. The basic question considered in the book is how the values of the Mellin transform are distributed (in a probabilistic sense), in cases where the input function is suitably algebro-geometric. This question is answered by the book's main theorem, using a mixture of geometric, categorical, and group-theoretic methods. By providing a new framework for studying Mellin transforms over finite fields, this book opens up a new way for researchers to further explore the subject.
Cooperation and Efficiency in Markets (Lecture Notes in Economics and Mathematical Systems #649)
by Milan HorniačekThe book deals with collusion between firms on both sides of a market that is immune to deviations by coalitions. We study this issue using an infinitely countably repeated game with discounting of future single period payoffs. A strict strong perfect equilibrium is the main solution concept that we apply. It requires that no coalition of players in no subgame can weakly Pareto improve the vector of continuation average discounted payoffs of its members by a deviation. If the sum of firms' average discounted profits is maximized along the equilibrium path then the equilibrium output of each type of good is produced with the lowest possible costs. If, in addition, all buyers are retailers (i.e., they resell the goods purchased in the analyzed market in a retail market) then the equilibrium vector of the quantities sold in the retail market is sold with the lowest possible selling costs. We specify sufficient conditions under which collusion increases consumer welfare.
Cooperative Control of Complex Network Systems with Dynamic Topologies
by Wenwu Yu Guanghui Wen Yuezu Lv Peijun WangFar from being separate entities, many social and engineering systems can be considered as complex network systems (CNSs) associated with closely linked interactions with neighbouring entities such as the Internet and power grids. Roughly speaking, a CNS refers to a networking system consisting of lots of interactional individuals, exhibiting fascinating collective behaviour that cannot always be anticipated from the inherent properties of the individuals themselves. As one of the most fundamental examples of cooperative behaviour, consensus within CNSs (or the synchronization of complex networks) has gained considerable attention from various fields of research, including systems science, control theory and electrical engineering. This book mainly studies consensus of CNSs with dynamics topologies - unlike most existing books that have focused on consensus control and analysis for CNSs under a fixed topology. As most practical networks have limited communication ability, switching graphs can be used to characterize real-world communication topologies, leading to a wider range of practical applications. This book provides some novel multiple Lyapunov functions (MLFs), good candidates for analysing the consensus of CNSs with directed switching topologies, while each chapter provides detailed theoretical analyses according to the stability theory of switched systems. Moreover, numerical simulations are provided to validate the theoretical results. Both professional researchers and laypeople will benefit from this book.
Cooperative Control of Multi-agent Systems: A Hybrid System Approach
by Changchun Hua Shuang Liu Guanglei Zhao Hailong CuiThis book focuses on stability analysis and control design approaches for multi-agent systems under network-induced constraints. A hybrid system approach is introduced to address the cooperative control problem of networked multi-agent systems, and several important topics such as asynchronous sampled data cooperative control, hybrid event-triggered cooperative control, and reset-based cooperative control are studied under the hybrid system framework. The special feature of this book is that a hybrid systems approach is proposed for the cooperative control of multi-agent systems, which is beneficial for relaxing the conservativeness of stability analysis and network parameter computation. Interested readers can learn a novel approach to cooperative control of multi-agent systems, and this book can benefit researchers, engineers, and graduate students in the fields of multi-robot cooperation, unmanned aerial vehicle formation, control engineering, etc.
Cooperative Game Theory Tools in Coalitional Control Networks (Springer Theses)
by Francisco Javier MurosThis book analyzes coalitional control schemes by incorporating concepts of cooperative game theory into a distributed control framework. It considers a networked architecture where the nodes are the agents and the edges are their communication links and either the agents or the links are established as the players of cooperative games related to the cost function of the coalitional schemes. The book discusses various cooperative game theory tools that are used to measure/analyze the players’ features, impose constraints on them, provide alternative methods of game computation, detect critical players inside the control scheme, and perform system partitioning of large-scale systems, such as the Barcelona drinking water network, which is described in a case study.
Coordinate Metrology: Accuracy of Systems and Measurements (Springer Tracts in Mechanical Engineering)
by Jerzy A. SładekThis book focuses on effective methods for assessing the accuracy of both coordinate measuring systems and coordinate measurements. It mainly reports on original research work conducted by Sladek's team at Cracow University of Technology's Laboratory of Coordinate Metrology. The book describes the implementation of different methods, including artificial neural networks, the Matrix Method, the Monte Carlo method and the virtual CMM (Coordinate Measuring Machine), and demonstrates how these methods can be effectively used in practice to gauge the accuracy of coordinate measurements. Moreover, the book includes an introduction to the theory of measurement uncertainty and to key techniques for assessing measurement accuracy. All methods and tools are presented in detail, using suitable mathematical formulations and illustrated with numerous examples. The book fills an important gap in the literature, providing readers with an advanced text on a topic that has been rapidly developing in recent years. The book is intended for master and PhD students, as well as for metrology engineers working at industrial and research laboratories. It not only provides them with a solid background for using existing coordinate metrology methods; it is also meant to inspire them to develop the state-of-the-art technologies that will play an important role in supporting quality growth and innovation in advanced manufacturing.
Coordinate Systems for Games: Simplifying the "me" and "we" Interactions (Static & Dynamic Game Theory: Foundations & Applications)
by Donald G. Saari Daniel T. JessieThis monograph develops a method of creating convenient coordinate systems for game theory that will allow readers to more easily understand, analyze, and create games at various levels of complexity. By identifying the unique characterization of games that separates the individual’s strategic interests from the group’s collective behavior, the authors construct a single analytical methodology that readers will be able to apply to a wide variety of games. With its emphasis on practicality and approachability, readers will find this book an invaluable tool, and a viable alternative to the ad hoc analytical approach that has become customary for researchers utilizing game theory.The introductory chapters serve two important purposes: they review several games of fundamental importance, and also introduce a dynamic that is inherent in games, but has gone unexplored until now. After this has been established, readers will advance from simple 2 x 2 games to games with more player strategies and dynamics. For interested readers, a rigorous treatment of the underlying mathematics is conveniently gathered at the end of the book. Additional topics of interest, such as extensive form and coalitional games, are presented to help readers visualize more complex settings that will be vital in aiding the understanding of advanced topics, such as coalition-free Nash points, multi-player repeated games, and more.Coordinate Systems for Games is ideal for a wide variety of researchers interested in game theory, including social scientists, economists, mathematicians, computer scientists, and more. The authors' approachable style also makes this accessible to an audience at any scale of experience, from beginning non-specialists to more practiced researchers.
Coping with Demographic Change in the Alpine Regions: Actions and Strategies for Spatial and Regional Development (European Studies of Population #23)
by Thomas Bausch Madeleine Koch Alexander VeserEurope's population is ageing and decreasing. Demographic change is making not only regional and territorial adaptation necessary, but also new region-specific spatial planning and regional development. This publication focusses on demographic change and its implications for the economy and social systems in the Alpine areas, which differ widely from their surrounding metropolitan areas. It provides a specific regional in-depth study in order to help establish suitable adaptation and development programs. It covers various aspects including demographic analysis, onsite participatory strategies and implementation processes, as well as generalized adaptation strategies. Reports on pilot actions in various regions across the Alps demonstrate how demographic change can be approached from a practitioner's perspective. The volume is based on the results of the project DEMOCHANGE, which was co-funded by the European Regional Development Fund in the frame of the European Territorial Cooperation "Alpine Space" program.
Coping with Population Challenges (Health And Population Set Ser.)
by Louise LassondeDespite rapidly decreasing rates of population growth caused by reduced fertility in the majority of world regions, demographers are predicting that the world's population will still double by the year 2050. The question is therefore no longer the traditional one of whether the planet can support so many people, but how to provide a sustainable future for ten billion individuals. Quantitative problems have become ethical ones. Coping with Population Challenges addresses these issues in the context of international debate and agreements since the first World Population Plan of Action in 1974 to the 20-year Programme of Action adopted at the International Conference on Population and Development in Cairo in 1994. The author describes how the Programme of Action focuses on women's issues, reproductive choice and the notion of the individual. However, she identifies a number of important but neglected areas of the debate that the Programme failed to address and brings to light some of the inconsistencies that need to be resolved if the Programme is to be implemented. The author also looks at the underlying ethical dimension of all choices relating to the population issue and suggests measures and machinery for giving effect to states' commitments, including reformulating problems and defining the appropriate economic framework for solutions. The book is an excellent introduction for the non-specialist to a very topical debate, and a useful reference for researchers.
Copula Additive Distributional Regression Using R (Chapman & Hall/CRC The R Series)
by Giampiero Marra Rosalba RadiceCopula additive distributional regression enables the joint modeling of multiple outcomes, an essential aspect of many real-world research problems. This book provides an accessible overview of this modeling approach, with a particular focus on its implementation in the GJRM R package, developed by the authors. The emphasis is on bivariate responses with empirical illustrations drawn from diverse fields such as health and medicine, epidemiology, economics and social sciences.Key Features: Provides a comprehensive overview of joint regression modeling for multiple outcomes, with a focus on bivariate responses Offers a practical approach with real-world examples from various fields Demonstrates the implementation of all the discussed models using the GJRM package in R Includes supplementary resources such as data accessible through the GJRM.data package in R and additional code available on the authors' webpages This book is designed for graduate students, researchers, practitioners and analysts who are interested in using copula additive distributional regression for the joint modeling of bivariate outcomes. The methodology is accessible to readers with a basic understanding of core statistics and probability, regression, copula modeling and R.
Copula-Based Markov Models for Time Series: Parametric Inference and Process Control (SpringerBriefs in Statistics)
by Takeshi Emura Li-Hsien Sun Xin-Wei Huang Mohammed S. Alqawba Jong-Min KimThis book provides statistical methodologies for time series data, focusing on copula-based Markov chain models for serially correlated time series. It also includes data examples from economics, engineering, finance, sport and other disciplines to illustrate the methods presented. An accessible textbook for students in the fields of economics, management, mathematics, statistics, and related fields wanting to gain insights into the statistical analysis of time series data using copulas, the book also features stand-alone chapters to appeal to researchers. As the subtitle suggests, the book highlights parametric models based on normal distribution, t-distribution, normal mixture distribution, Poisson distribution, and others. Presenting likelihood-based methods as the main statistical tools for fitting the models, the book details the development of computing techniques to find the maximum likelihood estimator. It also addresses statistical process control, as well as Bayesian and regression methods. Lastly, to help readers analyze their data, it provides computer codes (R codes) for most of the statistical methods.
Copulae in Mathematical and Quantitative Finance: Proceedings of the Workshop Held in Cracow, 10-11 July 2012 (Lecture Notes in Statistics #213)
by Fabrizio Durante Wolfgang Karl Härdle Piotr JaworskiCopulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Since their introduction in the early 1950s, copulas have gained considerable popularity in several fields of applied mathematics, especially finance and insurance. Today, copulas represent a well-recognized tool for market and credit models, aggregation of risks, and portfolio selection. Historically, the Gaussian copula model has been one of the most common models in credit risk. However, the recent financial crisis has underlined its limitations and drawbacks. In fact, despite their simplicity, Gaussian copula models severely underestimate the risk of the occurrence of joint extreme events. Recent theoretical investigations have put new tools for detecting and estimating dependence and risk (like tail dependence, time-varying models, etc) in the spotlight. All such investigations need to be further developed and promoted, a goal this book pursues. The book includes surveys that provide an up-to-date account of essential aspects of copula models in quantitative finance, as well as the extended versions of talks selected from papers presented at the workshop in Cracow.