SIMULATING COPULAS

STOCH MODEL, SAMPL..

von Mai Jan-Frederik

312 Seiten, Hardcover

Kurzbeschreibung des Verlags

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.

• Themen: Mathematik und Naturwissenschaften Mathematik Wahrscheinlichkeitsrechnung und Statistik
• ISBN: 9781848168749
• Sprache: Englisch
• Erscheinungsdatum: 26.06.2012
• Größe: 235 x 157 mm
• Verlag: ICP