Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications

ISBN-13: 9781848168749 / Angielski / Twarda / 2012 / 312 str.

Jan-Frederik Mai; Matthias Scherer

Opis

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)