SIMULATING COPULAS (2ND ED)
| Autor: | Jan-Frederik Mai & Matthias Scherer |
|---|---|
| EAN: | 9789813149243 |
| Sachgruppe: | Mathematik |
| Sprache: | Englisch |
| Seitenzahl: | 358 |
| Produktart: | Gebunden |
| Veröffentlichungsdatum: | 08.06.2017 |
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The book provides the 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 graduate and advanced undergraduate students with a firm background in stochastics. Besides the theoretical foundation, ready-to-implement algorithms and many examples make the book a valuable tool for anyone who is applying the methodology.
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