Simulating Copulas: Stochastic Models, Sampling Algorithms And Applications
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| Title: | Simulating Copulas: Stochastic Models, Sampling Algorithms And Applications |
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| 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. |
| Authors: | Matthias Scherer, Jan-frederik Mai |
| Resource Type: | eBook. |
| Subjects: | Stochastic models, Copulas (Mathematical statistics) |
| Categories: | MATHEMATICS / Probability & Statistics / Multivariate Analysis, MATHEMATICS / Applied, MATHEMATICS / Complex Analysis |
| Database: | eBook Collection (EBSCOhost) |
| Abstract: | 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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| ISBN: | 9781848168749 9781848168756 |
