Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications (Second Edition)

Download or read book Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications (Second Edition) written by Scherer Matthias and published by #N/A. This book was released on 2017-06-07 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book provides the 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 graduate and advanced undergraduate students with a firm background in stochastics. Besides the theoretical foundation, ready-to-implement algorithms and many examples make the book a valuable tool for anyone who is applying the methodology.