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Simulating copulas = stochastic mode...

Mai, Jan-Frederik.

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Simulating copulas = stochastic models, sampling algorithms and applications /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Simulating copulas/ Jan-Frederik Mai, Matthias Scherer.
其他題名:	stochastic models, sampling algorithms and applications /
作者:	Mai, Jan-Frederik.
其他作者:	Scherer, Matthias.
出版者:	Singapore ;World Scientific, : 2012.,
面頁冊數:	1 online resource (xiv, 295 pages) :illustrations.
標題:	Copulas (Mathematical statistics) -
電子資源:	http://www.worldscientific.com/worldscibooks/10.1142/P842#t=toc
ISBN:	9781848168756 (electronic bk.)

Simulating copulas = stochastic models, sampling algorithms and applications /
Mai, Jan-Frederik.

Simulating copulasstochastic models, sampling algorithms and applications /[electronic resource] :Jan-Frederik Mai, Matthias Scherer. - Singapore ;World Scientific,2012. - 1 online resource (xiv, 295 pages) :illustrations. - Series in quantitative finance ;v. 4. - Series in quantitative finance ;v. 4..

Includes bibliographical references (pages 283-292) and index.

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.

ISBN: 9781848168756 (electronic bk.)

Standard No.: 9786613784209Subjects--Topical Terms:

1086625
Copulas (Mathematical statistics)

LC Class. No.: QA273.6 / .M35 2012eb

Dewey Class. No.: 519.5/35

Simulating copulas = stochastic models, sampling algorithms and applications /
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504 $a Includes bibliographical references (pages 283-292) and index.
520 $a 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.
588 $a Description based on print version record.
650 0 $a Copulas (Mathematical statistics) $3 1086625
650 0 $a Stochastic models. $3 764002
700 1 $a Scherer, Matthias. $3 1573525
830 0 $a Series in quantitative finance ; $v v. 4. $3 2016520
856 4 0 $u http://www.worldscientific.com/worldscibooks/10.1142/P842#t=toc