SIMULATING COPULAS : STOCH MODEL, SAMPL.

Jan-Frederik Mai & Matthias Scherer

ISBN 10: 1848168748 / ISBN 13: 9781848168749

Verlag: ICP, 2012

Beschreibung

nach der Bestellung gedruckt Neuware - Printed after ordering - 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.

Bestandsnummer des Verkäufers 9781848168749

Bibliografische Details

• Titel: SIMULATING COPULAS : STOCH MODEL, SAMPL.
• Verlag: ICP
• Erscheinungsjahr: 2012
• Sprache: Englisch
• ISBN-10: 1848168748
• ISBN-13: 9781848168749
• Einband: Buch
• Zustand: Neu

Über diesen Titel

Inhaltsangabe

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.