Simulating Copulas: Stochastic Models, Sampling Algorithms and Applications (BOK)

Jan-Frederik Mai, Matthias Scherer

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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, and more) as well as on different construction principles (factor models, pair-copula construction, and more). 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.

Produktfakta

Språk Engelsk Engelsk Innbinding Innbundet
Utgitt 2012 Forfatter Jan-Frederik Mai, Matthias Scherer
Forlag
World Scientific Publishing UK
ISBN 9781848168749
Antall sider 400 Dimensjoner 15,2cm x 22,9cm x 2,3cm
Vekt 590 gram Leverandør Bertram Trading Ltd
Emner og form Stochastics

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