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Simulating Copulas: Stochastic Models, Sampling Algorithms and Applications

Jan-Frederik Mai, Matthias Scherer (Autoren)

Buch | Softcover

350 Seiten

2017 | 2nd Revised edition
World Scientific Publishing Co Pte Ltd (Verlag)
978-981-314-999-1 (ISBN)

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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.

Verlagsort	Singapore
Sprache	englisch
Themenwelt	Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
ISBN-10	981-314-999-X / 981314999X
ISBN-13	978-981-314-999-1 / 9789813149991
Zustand	Neuware