Simulating Copulas

Mai Jan-Frederik Scherer Matthias

ISBN 10: 1848168748 / ISBN 13: 9781848168749

Verlag: Imperial College Press, 2012

Beschreibung

pp. 312.

Bestandsnummer des Verkäufers 49547198

Bibliografische Details

• Titel: Simulating Copulas
• Verlag: Imperial College Press
• Erscheinungsjahr: 2012
• Sprache: Englisch
• ISBN-10: 1848168748
• ISBN-13: 9781848168749
• Einband: Hardcover
• Zustand: New

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.