Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications - Couverture rigide

Scherer, Matthias; Mai, Jan-frederik

 
9781848168749: Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications
Couverture rigide
ISBN 10 : 1848168748 ISBN 13 : 9781848168749
Editeur : Imperial College Press, 2012

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Éditeur
Imperial College Press
Date d'édition
2012
Langue
anglais
ISBN 10 
1848168748
ISBN 13 
9781848168749
Reliure
Relié
Nombre de pages
312
Coordonnées du fabricant
non disponible
Personne responsable
non disponible