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Book 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, and more) as well as on different construction principles (factor models, pair-copula construction, and more). 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.

Book details

Book category Books in English Mathematics & science Mathematics Applied mathematics

• Full title: Simulating Copulas
• Author: Jan-Frederik Mai
• Language: English
• Binding: Hardback
• Number of pages: 400
• EAN: 9781848168749
• ISBN: 1848168748
• ID: 01225012
• Publisher: World Scientific Publishing
• Weight: 584 g
• Dimensions: 235 × 159 × 24 mm
• Date of publishing: 23. August 2012

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