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.
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 ed
Publication Statements
- Publisher(s):World Scientific
- Place of Publication:Singapore
- Language:eng
- Publication Date:©2017.
The Physical Object
- Description:1 online resource
Edition Identifiers
- ISBN:9789813149250, 9813149256
- oclc:ocn999647659
- LC Classification:QA273.6
- Dewey Decimal:519.5/35
Subjects
Writers
More from this Series
No reviews yet. Be the first to rate this work.
Related Works
more →
Twelve British statisticians
PATHWISE ESTIMATION AND INFERENCE FOR DIFFUSION MARKET MODELS
YEE, HIN LIN. DOKUCHAEV, NIKOLAI
Applied multiple regression/correlation analysis for the behavioral sciences
Cohen, Jacob
Latent variable and latent structure models
Basic Statistics and Pharmaceutical Statistical Applications, Third Edition
De Muth, James E.
Groups, graphs, and random walks
Files & Downloads
-
Simulating Copulas: Stochastic Models, Sampling A…
PDF · 6.8 MB · updated -
Simulating Copulas: Stochastic Models, Sampling A…
PDF · 4.0 MB · updated
Rate & Review