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Viser: Simulating Copulas - Stochastic Models, Sampling Algorithms and Applications
Simulating Copulas
Stochastic Models, Sampling Algorithms and Applications
Matthias Scherer og Jan-Frederik Mai
(2017)
Sprog: Engelsk
Detaljer om varen
- 2. Udgave
- Hardback: 350 sider
- Udgiver: World Scientific Publishing Co Pte Ltd (Juni 2017)
- Forfattere: Matthias Scherer og Jan-Frederik Mai
- ISBN: 9789813149243
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.