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Simulating Copulas: Stoch Model, Sampl..

by Mai Jan-Frederik

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A unified guide to simulating copulas

$120.73 USD
$134.15 USD $120.73 USD
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Hardcover New English

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AlbakiReads Editorial

A unified guide to simulating copulas

This technical volume brings together methods for simulating copulas and multivariate distributions, covering families such as elliptical, Archimedean, and Marshall–Olkin-type copulas alongside construction approaches including factor models and pair-copula construction. Its scope combines theoretical foundations with examples and algorithms described as ready to implement, linking mathematical concepts to practical use. The book is presented as self-contained and is intended to support advanced study of stochastic methods and their applications.

Good fit for readers who enjoy

  • Advanced undergraduate or graduate students with a strong background in stochastics
  • Researchers and practitioners working with copulas or multivariate distributions
  • Readers seeking algorithms and examples for applying simulation methods

Themes

Copula simulationMultivariate distributionsStochastic methodsMathematical algorithms and applications

Based on publisher information and book metadata.

Book overview

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.Errata(s)Errata (128 KB)
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