Dynamic Modeling of Multivariate Distributions: Reconstructing Higher Dimensional Distributions from Smaller Ones,Used

Dynamic Modeling of Multivariate Distributions: Reconstructing Higher Dimensional Distributions from Smaller Ones,Used

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SKU: DADAX3845423056
Brand: LAP Lambert Academic Publishing
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The problem of dynamic joint distribution estimation is very important from both theoretical and practical points of view: econometricians would be interested in developing new techniques and approaches to model dynamic joint distributions, whereas practitioners (especially, risk and asset managers) would be interested in obtaining dynamic distributions for computing risk measures and making optimal portfolio choices. This book introduces a new sequential methodology for dynamic joint distributions modeling based on combining smalldimensional distributions into higherdimensional ones. The new proposition uses marginal and bivariate distributions as inputs, combines them to capture the dependence between one marginal and one bivariate, and then aggregates all of the dependencies to obtain trivariate distributions. Higherdimensional distributions are built in a similar manner from onedimensionsmaller distributions and univariate ones through compounding and then aggregating them into a single distribution. Additionally, the book demonstrates how to apply this new sequential technique to model fivedimensional distribution of DJIA constituents.

⚠️ WARNING (California Proposition 65):

This product may contain chemicals known to the State of California to cause cancer, birth defects, or other reproductive harm.

For more information, please visit www.P65Warnings.ca.gov.

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