Simulating copulas: stochastic models, sampling algorithms, and applications

This book provides the reader with a background on simulating copulas and multivariate distributions in general. It unifies the scattered literature on thesimulation 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 inpresentation and can be used as a textbook for advanced undergraduate or graduate students with a firm background in stochastics. Alongside the theoreticalfoundation, ready-to-implement algorithms and many examples make this book a valuable tool for anyone who is applying the methodology. INDICE: Introduction; Archimedean Copulas; Marshall–Olkin Copulas; Elliptical Copulas; Pair Copula Constructions; Sampling Univariate Random Variables; The Monte Carlo Method.

• ISBN: 978-1-84816-874-9
• Editorial: Imperial College
• Encuadernacion: Cartoné
• Páginas: 312
• Fecha Publicación: 26/08/2012
• Nº Volúmenes: 1
• Idioma: Inglés