Untertitel:
Stochastic Models, Sampling Algorithms, and Applications
Autor:
Jan-Frederik Mai, Matthias Scherer
Herausgeber:
IMPERIAL COLLEGE PRESS
Erscheinungsdatum:
26.06.2012
Klappentext 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. Zusammenfassung Provides you with a background on simulating copulas and multivariate distributions in general. This title 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). Inhaltsverzeichnis General Introduction to Copulas; Univariate Sampling Schemes; Introduction to Monte Carlo Techniques; Elliptical Copulas; Archimedean Copulas; Marshall-Olkin Copulas; Pair-Copula Construction; Applications.
Zusammenfassung
Provides you with a background on simulating copulas and multivariate distributions in general. This title 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).
Inhalt
General Introduction to Copulas; Univariate Sampling Schemes; Introduction to Monte Carlo Techniques; Elliptical Copulas; Archimedean Copulas; Marshall-Olkin Copulas; Pair-Copula Construction; Applications.
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