Skip to main content
Disciplines
Automotive Business IT + Informatics Construction + Real Estate Electrical Engineering + Electronics Energy + Sustainability Insurance + Risk Finance + Banking Management + Leadership Marketing + Sales Mechanical Engineering + Materials
Events
DE
EN
Books
Journals
Topic Page
Marketing
Start single access now
Access for companies
EXTENDED SEARCH
Log in
Top
Published in:
Cover of the book

2020 | OriginalPaper | Chapter

1. Overview of the Book with Data Examples

Authors : Li-Hsien Sun, Xin-Wei Huang, Mohammed S. Alqawba, Jong-Min Kim, Takeshi Emura

Published in: Copula-Based Markov Models for Time Series

Publisher: Springer Singapore

Log in

Activate our intelligent search to find suitable subject content or patents.

search-config
loading …

Abstract

This chapter briefly describes the main ideas of the book: time series data and copula-based Markov models for serial dependence. For illustration, we introduce five datasets, namely, the chemical process data, S&P 500 stock market index data, the batting average data in MLB, the stock price data of Dow Jones Industrial Average, and data on the number of arsons.

Dont have a licence yet? Then find out more about our products and how to get one now:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

  • über 102.000 Bücher
  • über 537 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Maschinenbau + Werkstoffe
  • Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

inform now

Springer Professional "Technik"

Online-Abonnement

Mit Springer Professional "Technik" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 390 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Maschinenbau + Werkstoffe




 

Jetzt Wissensvorsprung sichern!

inform now

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 340 Zeitschriften

aus folgenden Fachgebieten:

  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Versicherung + Risiko




Jetzt Wissensvorsprung sichern!

inform now
next chapter Copula and Markov Models
Literature
Alqawba M, Diawara N, Chaganty NR (2019) Zero-inflated count time series models using Gaussian copula. Sequen Anal 38(3):342–357MathSciNetCrossRef
Bisgaard S, Kulahci M (2007) Quality quandaries: Using a time series model for process adjustment and control. Qual Eng 20(1):134–141CrossRef
Box GEP, Jenkins G (1990) Time series analysis, forecasting and control. Holden-Day, Inc, New York
Box G, Narasimhan S (2010) Rethinking statistics for quality control. Qual Eng 22(2):60–72CrossRef
Chen X, Fan Y (2006) Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification. J Economet 135(1–2):125–154MathSciNetCrossRef
Curto J, Pinto J, Tavares G (2009) Modeling stock markets volatility using Garch models with normal, students t and stable Paretian distributions. Stat Pap 50(2):311–321MathSciNetCrossRef
Domma F, Giordano S, Francesco PP (2009) Statistical modeling of temporal dependence in financial data via a copula function. Commun Stat Simul Comput 38:703–728MathSciNetCrossRef
Durante F, Sempi C (2016) Principles of copula theory. Chapman and Hall/CRC
Emura T, Long T-H, Sun L-H (2017) R routines for performing estimation and statistical process control under copula-based time series models. Commun Stat Simul Comput 46(4):3067–3087MathSciNetCrossRef
Emura T, Matsui S, Rondeau V (2019) Survival analysis with correlated endpoints, joint frailty-copula models. JSS Research Series in Statistics, Springer
Emura T, Chen YH (2018) Analysis of survival data with dependent censoring, copula-based approaches. JSS Research Series in Statistics, Springer
Hill SE, Schvaneveldt SJ (2011) Using statistical process control charts to identify the steroids era in major league baseball: An educational exercise. J Stat Educ 19:1–19CrossRef
Huang X-W, Chen WR, Emura T (2020a). Likelihood-based inference for a copula-based Markov chain model with binomial time series, submitted
Huang X-W, Wang W, Emura T (2020b). A copula-based Markov chain model for serially dependent event times with a dependent terminal event, Japanese J Stat Data Sci, in revision
Joe H (1997) Multivariate models and multivariate dependence concepts. Chapman and Hall/CRC
Kim J-M, Hwang S-Y (2017) Directional dependence via Gaussian copula beta regression model with asymmetric GARCH marginals. Commun Stat Simul Comput 46(10):7639–7653MathSciNetCrossRef
Long T-H, Emura T (2014) A control chart using copula-based Markov chain models. J Chin Stat Assoc 52(4):466–496
Mastrangelo CM, Montgomery DC (1995) SPC with correlated observations for the chemical and process industries. Qual Reliabil Eng Int 11(2):79–89CrossRef
McNeil AJ, Frey R, Embrechts P (2005) Quantitative Risk Management: Concepts, Techniques and Tools. Princeton University Press, New YorkMATH
Montgomery DC (2009) Statistical quality control, vol 7. Wiley, New York
Nelsen RB (2006) An Introduction to Copulas. Springer Science & Business Media
Santitissadeekorn N, Lloyd DJ et al (2020) Approximate filtering of conditional intensity process for Poisson count data: Application to urban crime. Comput Stat Data Anal 144:106850MathSciNetCrossRef
Sklar M (1959) Fonctions de repartition an dimensions et leurs marges. Publications de l’Institut de Statistique de l’Université de Paris 8:229–231MathSciNetMATH
Metadata
Title
Overview of the Book with Data Examples
Authors
Li-Hsien Sun
Xin-Wei Huang
Mohammed S. Alqawba
Jong-Min Kim
Takeshi Emura
Copyright Year
2020
Publisher
Springer Singapore
Book
Copula-Based Markov Models for Time Series

Print ISBN: 978-981-15-4997-7

Electronic ISBN: 978-981-15-4998-4

Copyright Year: 2020

DOI
https://doi.org/10.1007/978-981-15-4998-4_1