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SIMULATING COPULAS: STOCH MODEL, SAMPL.. - Mai Jan-Frederik

English
2012-06-26
€151.89 €189.86

-20% with code BOOKS

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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 ... Full description

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Description

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.

More Information

Author Mai Jan-Frederik
Publisher ICP
Release year 2012
Cover type Hardcover
EAN 9781848168749
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€151.89 €189.86