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Simulating copulas
Hardback
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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, 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.
- Product Details
-
- ISBN
- 9781848168749
- Format
- Hardback
- Publisher
- Imperial College Press, (29 August 2012)
- Number of Pages
- 295
- Weight
- 584 grams
- Language
- English
- Dimensions
- 235 x 159 x 24 mm
- Series:
- See all books in this series
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