Multidimensional data modeling and risk analysis

This scientific monograph presented for readers concerns risk analysis and multivariate data modeling. It contains a wide range of problems that have been addressed, including the understanding of risk in economic theories, the measurement of capital market risk, or the study of the energy market. In addition, demographic issues related to mortality, its analysis and forecasting are addressed, as well as issues related to youth unemployment and analysis of the COVID-19 pandemic. The analyzed sets have different structures, different dimensions, and are linked to different temporal and spatial measurements. The methodological layer of the research takes up the latest results and developments in the area of inference and analysis of multidimensional data sets, the utilitarian one covers detailed applications, and in addition, a risk analysis is carried out. The authors of the research are employees and doctoral students of the Department of Demography and Economic Statistics.

Introduction 5 Chapter I Perception of risk in economic theory (Józef Stawicki) 9 Chapter II Extended Gini regression coefficient as robust estimator of systematic risk in capital market (Grażyna Trzpiot) 23 Chapter III Non-parametric econometric models in risk analysis (Dominik Krężołek) 40 Chapter IV Comparative analysis of selected distance measures dedicated to time series (Alicja Ganczarek-Gamrot) 60 Chapter V A multivariate functional analysis of mortality trends in Europe (Justyna Majewska) 70 Chapter VI Selected relational models of mortality predictions in small regional areas populations in Poland (Agnieszka Orwat-Acedańska) 91 Chapter VII Generalized linear model in the study of determinants of youth unemployment rates in Polish provinces (Magdalena Kawecka) 106 Chapter VIII Time series analysis of the number of COVID-19 cases during the pandemic in selected countries (Zuzanna Krysiak, Grażyna Trzpiot) 125 About the Authors 153