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Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications (Second Edition)
Jan-frederik Mai
Matthias Scherer
出版
#N/A
, 2017-06-07
主題
Mathematics / Probability & Statistics / Stochastic Processes
Business & Economics / Statistics
Business & Economics / Finance / General
ISBN
9813149264
9789813149267
URL
http://books.google.com.hk/books?id=jocvDwAAQBAJ&hl=&source=gbs_api
EBook
SAMPLE
註釋
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.