SIMULATING COPULAS (2ND ED)

Jan-frederik Mai, Matthias Scherer

ca. 104,99 €

World Scientific Publishing Company 

Naturwissenschaften, Medizin, Informatik, Technik / Wahrscheinlichkeitstheorie, Stochastik, Mathematische Statistik

Beschreibung

'The book remains a valuable tool both for statisticians who are already familiar with the theory of copulas and just need to develop sampling algorithms, and for practitioners who want to learn copulas and implement the simulation techniques needed to exploit the potential of copulas in applications.'

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.

Kundenbewertungen