Simulating copulas: stochastic models, sampling algorithms, and applications
Auteur :
Mai, Jan-Frederik / Scherer, Matthias
Éditeur :
Imperial College Press
ISBN :
9781848168749
Date de publication :
29 août 2012
Langue :
Anglais
Pays d'origine :
Grande Bretagne
Provides you with a background on simulating copulas and multivariate distributions in general. This title 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).