Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications
- ISBN-10
- 1848168748
- ISBN-13
- 9781848168749
- Category
- Mathematics
- Pages
- 310
- Language
- English
- Published
- 2012
- Publisher
- World Scientific
- Authors
- Matthias Scherer, Jan-Frederik Mai
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.Errata(s)Errata (128 KB)
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Other editions
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- 2012-06-26
- 312 pages
- Ebook
- World Scientific
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- 2017-06-07
- 356 pages
- Ebook
- #N/A
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