Vetenskap & teknik
Pocket
Simulating Copulas: Stochastic Models, Sampling Algorithms and Applications
Jan-Frederik Mai • Matthias Scherer • Scherer Matthias Et Al
1319:-
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The 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.
- Format: Pocket/Paperback
- ISBN: 9789813149991
- Språk: Engelska
- Antal sidor: 350
- Utgivningsdatum: 2017-08-09
- Förlag: World Scientific Publishing Co Pte Ltd