Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications (Second Edition)
| AUTHOR | Mai, Jan-Frederik; Jan-Frederik Mai & Matthias Scherer; Mai, Jan-Frederik et al. |
| PUBLISHER | World Scientific Publishing Company (08/02/2017) |
| PRODUCT TYPE | Hardcover (Hardcover) |
Description
'The book remains a valuable tool both for statisticians who are already familiar with the theory of copulas and just need to develop sampling algorithms, and for practitioners who want to learn copulas and implement the simulation techniques needed to exploit the potential of copulas in applications.'Mathematical ReviewsThe 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.
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Product Format
Product Details
ISBN-13:
9789813149243
ISBN-10:
9813149248
Binding:
Hardback or Cased Book (Sewn)
Content Language:
English
More Product Details
Page Count:
356
Carton Quantity:
20
Product Dimensions:
5.90 x 0.90 x 9.10 inches
Weight:
1.40 pound(s)
Country of Origin:
SG
Subject Information
BISAC Categories
Mathematics | Probability & Statistics - Multivariate Analysis
Mathematics | Applied
Mathematics | Probability & Statistics - Stochastic Processes
Dewey Decimal:
519.535
Descriptions, Reviews, Etc.
publisher marketing
'The book remains a valuable tool both for statisticians who are already familiar with the theory of copulas and just need to develop sampling algorithms, and for practitioners who want to learn copulas and implement the simulation techniques needed to exploit the potential of copulas in applications.'Mathematical ReviewsThe 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.
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List Price $128.00
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$126.72