Simulating Copulas - Jan Mai; Matthias Scherer

Simulating Copulas

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Autor: Jan Mai; Matthias Scherer

Wydawnictwo: Imperial College Press
ISBN: 9781848168749
EAN:
Format: ...
Oprawa: twarda
Stron: 400
Data wydania: 2012-09-01
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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.

Książka "Simulating Copulas"
Jan Mai; Matthias Scherer