SIMULATING COPULAS
| Autor: | Jan-Frederik Mai & Matthias Scherer |
|---|---|
| EAN: | 9781848168749 |
| Sachgruppe: | Mathematik |
| Sprache: | Englisch |
| Seitenzahl: | 312 |
| Produktart: | Gebunden |
| Veröffentlichungsdatum: | 26.06.2012 |
| Untertitel: | STOCH MODEL, SAMPL.. |
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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 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.
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