Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications
Author | : Matthias Scherer |
Publisher | : World Scientific |
Total Pages | : 310 |
Release | : 2012-06-26 |
Genre | : Mathematics |
ISBN | : 1908977582 |
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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, 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.