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Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications

Posted By: insetes
Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications

Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications By Jan-Frederik Mai, Matthias Scherer
2012 | 295 Pages | ISBN: 1848168748 | PDF | 3 MB


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.