Simulating copulas: stochastic models, sampling algorithms, and applications
This book provides the reader with a background on simulating copulas and multivariate distributions in general. It unifies the scattered literature on the simulation of various families of copulas (elliptical, Archimedean, Marshall-Olkin type, etc.) as well as on different construction principles (factor models, pair-copula construction, etc.). The book is self-contained and unified in presentation and can be used as a textbook for advanced undergraduate or graduate students with a firm backgr…
Read More ↓Title Statements
- Full title :Simulating copulas : stochastic models, sampling algorithms, and applications / Jan-Frederik Mai, Matthias Scherer ; with contributions by Claudia Czado, Elke Korn, Ralf Korn, Jakob Stöber.
Summary
This book provides the reader with a background on simulating copulas and multivariate distributions in general. It unifies the scattered literature on the simulation of various families of copulas (elliptical, Archimedean, Marshall-Olkin type, etc.) as well as on different construction principles (factor models, pair-copula construction, etc.). The book is self-contained and unified in presentation and can be used as a textbook for advanced undergraduate or graduate students with a firm background in stochastics. Alongside the theoretical foundation, ready-to-implement algorithms and many examples make this book a valuable tool for anyone who is applying the methodology.
Read More ↓Edition Statements
- Publication Date:©2017
- Edition:2nd edition
Publication Statements
- Publisher(s):World Scientific
- Place of Publication:New Jersey
- Language:eng
- Publication Date:©2017
The Physical Object
- Description:xvii, 338 pages : : illustrations ; : 24 cm.
Edition Identifiers
- ISBN:9813149248, 9789813149243, 981314999X, 9789813149991
- oclc:ocn960835518
- LC Classification:QA273.6
- Dewey Decimal:519.5/35
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