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SIMULATING COPULAS: STOCH MODEL, SAMPL.. - Mai Jan-Frederik

Anglų
2012-06-26
142,40 € 189,86 €

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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 ... Visas aprašymas

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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.

Daugiau informacijos

Autorius Mai Jan-Frederik
Leidėjas ICP
Išleidimo metai 2012
Viršelio tipas Kieti viršeliai
EAN 9781848168749
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142,40 € 189,86 €