Simulating copulas :: stochastic models, sampling algorithms and applications /
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 (...
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| 1. Verfasser: | |
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| Weitere Verfasser: | |
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Singapore ; Hackensack, NJ :
World Scientific,
©2012.
|
| Schriftenreihe: | Series in quantitative finance ;
v. 4. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | 1 online resource (xiv, 295 pages) : illustrations |
| Bibliographie: | Includes bibliographical references (pages 283-292) and index. |
| ISBN: | 9781848168756 1848168756 1281603511 9781281603517 |
Internformat
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| 245 | 1 | 0 | |a Simulating copulas : |b stochastic models, sampling algorithms and applications / |c Jan-Frederik Mai, Matthias Scherer. |
| 260 | |a Singapore ; |a Hackensack, NJ : |b World Scientific, |c ©2012. | ||
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| 490 | 1 | |a Series in quantitative finance ; |v v. 4 | |
| 504 | |a Includes bibliographical references (pages 283-292) and index. | ||
| 520 | |a 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. | ||
| 588 | 0 | |a Print version record. | |
| 505 | 0 | |a 1. Introduction. 1.1. Copulas. 1.2. General classifications of copulas -- 2. Archimedean copulas. 2.1. Motivation. 2.2. Extendible Archimedean copulas. 2.3. Exchangeable Archimedean copulas. 2.4. Hierarchical (H-extendible) Archimedean copulas. 2.5. Other topics related to Archimedean copulas -- 3. Marshall-Olkin copulas. 3.1. The general Marshall-Olkin copula. 3.2. The exchangeable case. 3.3. The extendible case -- 4. Elliptical copulas. 4.1. Spherical distributions. 4.2. Elliptical distributions. 4.3. Parametric families of elliptical distributions. 4.4. Elliptical copulas. 4.5. Parametric families of elliptical copulas. 4.6. Sampling algorithms -- 5. Pair copula constructions. 5.1. Introduction to pair copula constructions. 5.2. Copula construction by regular vine trees. 5.3. Simulation from regular vine distributions. 5.4. Dependence properties. 5.5. Application -- 6. Sampling univariate random variables. 6.1. General aspects of generating random variables. 6.2. Generating uniformly distributed random variables. 6.3. The inversion method. 6.4. Generating exponentially distributed random numbers. 6.5. Acceptance-rejection method. 6.6. Generating normally distributed random numbers. 6.7. Generating lognormal random numbers. 6.8. Generating gamma-distributed random numbers. 6.9. Generating Chi-square-distributed RNs. 6.10. Generating t-distributed random numbers. 6.11. Generating Pareto-distributed random numbers. 6.12. Generating inverse Gaussian-distributed random numbers. 6.13. Generating stable-distributed random numbers. 6.14. Generating discretely distributed random numbers -- 7. The Monte Carlo method. 7.1. First aspects of the Monte Carlo method. 7.2. Variance reduction methods. | |
| 650 | 0 | |a Copulas (Mathematical statistics) |0 http://id.loc.gov/authorities/subjects/sh98005244 | |
| 650 | 0 | |a Stochastic models. |0 http://id.loc.gov/authorities/subjects/sh2005004376 | |
| 650 | 6 | |a Copules (Statistique mathématique) | |
| 650 | 6 | |a Modèles stochastiques. | |
| 650 | 7 | |a MATHEMATICS |x Probability & Statistics |x Multivariate Analysis. |2 bisacsh | |
| 650 | 7 | |a Copulas (Mathematical statistics) |2 fast | |
| 650 | 7 | |a Stochastic models |2 fast | |
| 700 | 1 | |a Scherer, Matthias, |d 1979- |1 https://id.oclc.org/worldcat/entity/E39PCjK9p8YgPhQyPFWrbpKw4q | |
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| 776 | 0 | 8 | |i Print version: |a Mai, Jan-Frederik. |t Simulating copulas. |d Singapore ; Hackensack, NJ : World Scientific, ©2012 |z 9781848168749 |
| 830 | 0 | |a Series in quantitative finance ; |v v. 4. |0 http://id.loc.gov/authorities/names/no2009068871 | |
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| adam_text | |
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| author | Mai, Jan-Frederik |
| author2 | Scherer, Matthias, 1979- |
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| author_GND | http://id.loc.gov/authorities/names/nb2012023395 |
| author_facet | Mai, Jan-Frederik Scherer, Matthias, 1979- |
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| contents | 1. Introduction. 1.1. Copulas. 1.2. General classifications of copulas -- 2. Archimedean copulas. 2.1. Motivation. 2.2. Extendible Archimedean copulas. 2.3. Exchangeable Archimedean copulas. 2.4. Hierarchical (H-extendible) Archimedean copulas. 2.5. Other topics related to Archimedean copulas -- 3. Marshall-Olkin copulas. 3.1. The general Marshall-Olkin copula. 3.2. The exchangeable case. 3.3. The extendible case -- 4. Elliptical copulas. 4.1. Spherical distributions. 4.2. Elliptical distributions. 4.3. Parametric families of elliptical distributions. 4.4. Elliptical copulas. 4.5. Parametric families of elliptical copulas. 4.6. Sampling algorithms -- 5. Pair copula constructions. 5.1. Introduction to pair copula constructions. 5.2. Copula construction by regular vine trees. 5.3. Simulation from regular vine distributions. 5.4. Dependence properties. 5.5. Application -- 6. Sampling univariate random variables. 6.1. General aspects of generating random variables. 6.2. Generating uniformly distributed random variables. 6.3. The inversion method. 6.4. Generating exponentially distributed random numbers. 6.5. Acceptance-rejection method. 6.6. Generating normally distributed random numbers. 6.7. Generating lognormal random numbers. 6.8. Generating gamma-distributed random numbers. 6.9. Generating Chi-square-distributed RNs. 6.10. Generating t-distributed random numbers. 6.11. Generating Pareto-distributed random numbers. 6.12. Generating inverse Gaussian-distributed random numbers. 6.13. Generating stable-distributed random numbers. 6.14. Generating discretely distributed random numbers -- 7. The Monte Carlo method. 7.1. First aspects of the Monte Carlo method. 7.2. Variance reduction methods. |
| ctrlnum | (OCoLC)802330740 |
| dewey-full | 519.5/35 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.5/35 |
| dewey-search | 519.5/35 |
| dewey-sort | 3519.5 235 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| format | Electronic eBook |
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| id | ZDB-4-EBA-ocn802330740 |
| illustrated | Illustrated |
| indexdate | 2024-11-27T13:24:52Z |
| institution | BVB |
| isbn | 9781848168756 1848168756 1281603511 9781281603517 |
| language | English |
| oclc_num | 802330740 |
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| series | Series in quantitative finance ; |
| series2 | Series in quantitative finance ; |
| spelling | Mai, Jan-Frederik. https://id.oclc.org/worldcat/entity/E39PCjG8tjDYFvDBvcfXbTqGH3 http://id.loc.gov/authorities/names/nb2012023395 Simulating copulas : stochastic models, sampling algorithms and applications / Jan-Frederik Mai, Matthias Scherer. Singapore ; Hackensack, NJ : World Scientific, ©2012. 1 online resource (xiv, 295 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier Series in quantitative finance ; v. 4 Includes bibliographical references (pages 283-292) and index. 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. Print version record. 1. Introduction. 1.1. Copulas. 1.2. General classifications of copulas -- 2. Archimedean copulas. 2.1. Motivation. 2.2. Extendible Archimedean copulas. 2.3. Exchangeable Archimedean copulas. 2.4. Hierarchical (H-extendible) Archimedean copulas. 2.5. Other topics related to Archimedean copulas -- 3. Marshall-Olkin copulas. 3.1. The general Marshall-Olkin copula. 3.2. The exchangeable case. 3.3. The extendible case -- 4. Elliptical copulas. 4.1. Spherical distributions. 4.2. Elliptical distributions. 4.3. Parametric families of elliptical distributions. 4.4. Elliptical copulas. 4.5. Parametric families of elliptical copulas. 4.6. Sampling algorithms -- 5. Pair copula constructions. 5.1. Introduction to pair copula constructions. 5.2. Copula construction by regular vine trees. 5.3. Simulation from regular vine distributions. 5.4. Dependence properties. 5.5. Application -- 6. Sampling univariate random variables. 6.1. General aspects of generating random variables. 6.2. Generating uniformly distributed random variables. 6.3. The inversion method. 6.4. Generating exponentially distributed random numbers. 6.5. Acceptance-rejection method. 6.6. Generating normally distributed random numbers. 6.7. Generating lognormal random numbers. 6.8. Generating gamma-distributed random numbers. 6.9. Generating Chi-square-distributed RNs. 6.10. Generating t-distributed random numbers. 6.11. Generating Pareto-distributed random numbers. 6.12. Generating inverse Gaussian-distributed random numbers. 6.13. Generating stable-distributed random numbers. 6.14. Generating discretely distributed random numbers -- 7. The Monte Carlo method. 7.1. First aspects of the Monte Carlo method. 7.2. Variance reduction methods. Copulas (Mathematical statistics) http://id.loc.gov/authorities/subjects/sh98005244 Stochastic models. http://id.loc.gov/authorities/subjects/sh2005004376 Copules (Statistique mathématique) Modèles stochastiques. MATHEMATICS Probability & Statistics Multivariate Analysis. bisacsh Copulas (Mathematical statistics) fast Stochastic models fast Scherer, Matthias, 1979- https://id.oclc.org/worldcat/entity/E39PCjK9p8YgPhQyPFWrbpKw4q has work: Simulating copulas (Text) https://id.oclc.org/worldcat/entity/E39PCGRdgvB33cJw3JTk9d9Dhd https://id.oclc.org/worldcat/ontology/hasWork Print version: Mai, Jan-Frederik. Simulating copulas. Singapore ; Hackensack, NJ : World Scientific, ©2012 9781848168749 Series in quantitative finance ; v. 4. http://id.loc.gov/authorities/names/no2009068871 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=479878 Volltext |
| spellingShingle | Mai, Jan-Frederik Simulating copulas : stochastic models, sampling algorithms and applications / Series in quantitative finance ; 1. Introduction. 1.1. Copulas. 1.2. General classifications of copulas -- 2. Archimedean copulas. 2.1. Motivation. 2.2. Extendible Archimedean copulas. 2.3. Exchangeable Archimedean copulas. 2.4. Hierarchical (H-extendible) Archimedean copulas. 2.5. Other topics related to Archimedean copulas -- 3. Marshall-Olkin copulas. 3.1. The general Marshall-Olkin copula. 3.2. The exchangeable case. 3.3. The extendible case -- 4. Elliptical copulas. 4.1. Spherical distributions. 4.2. Elliptical distributions. 4.3. Parametric families of elliptical distributions. 4.4. Elliptical copulas. 4.5. Parametric families of elliptical copulas. 4.6. Sampling algorithms -- 5. Pair copula constructions. 5.1. Introduction to pair copula constructions. 5.2. Copula construction by regular vine trees. 5.3. Simulation from regular vine distributions. 5.4. Dependence properties. 5.5. Application -- 6. Sampling univariate random variables. 6.1. General aspects of generating random variables. 6.2. Generating uniformly distributed random variables. 6.3. The inversion method. 6.4. Generating exponentially distributed random numbers. 6.5. Acceptance-rejection method. 6.6. Generating normally distributed random numbers. 6.7. Generating lognormal random numbers. 6.8. Generating gamma-distributed random numbers. 6.9. Generating Chi-square-distributed RNs. 6.10. Generating t-distributed random numbers. 6.11. Generating Pareto-distributed random numbers. 6.12. Generating inverse Gaussian-distributed random numbers. 6.13. Generating stable-distributed random numbers. 6.14. Generating discretely distributed random numbers -- 7. The Monte Carlo method. 7.1. First aspects of the Monte Carlo method. 7.2. Variance reduction methods. Copulas (Mathematical statistics) http://id.loc.gov/authorities/subjects/sh98005244 Stochastic models. http://id.loc.gov/authorities/subjects/sh2005004376 Copules (Statistique mathématique) Modèles stochastiques. MATHEMATICS Probability & Statistics Multivariate Analysis. bisacsh Copulas (Mathematical statistics) fast Stochastic models fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh98005244 http://id.loc.gov/authorities/subjects/sh2005004376 |
| title | Simulating copulas : stochastic models, sampling algorithms and applications / |
| title_auth | Simulating copulas : stochastic models, sampling algorithms and applications / |
| title_exact_search | Simulating copulas : stochastic models, sampling algorithms and applications / |
| title_full | Simulating copulas : stochastic models, sampling algorithms and applications / Jan-Frederik Mai, Matthias Scherer. |
| title_fullStr | Simulating copulas : stochastic models, sampling algorithms and applications / Jan-Frederik Mai, Matthias Scherer. |
| title_full_unstemmed | Simulating copulas : stochastic models, sampling algorithms and applications / Jan-Frederik Mai, Matthias Scherer. |
| title_short | Simulating copulas : |
| title_sort | simulating copulas stochastic models sampling algorithms and applications |
| title_sub | stochastic models, sampling algorithms and applications / |
| topic | Copulas (Mathematical statistics) http://id.loc.gov/authorities/subjects/sh98005244 Stochastic models. http://id.loc.gov/authorities/subjects/sh2005004376 Copules (Statistique mathématique) Modèles stochastiques. MATHEMATICS Probability & Statistics Multivariate Analysis. bisacsh Copulas (Mathematical statistics) fast Stochastic models fast |
| topic_facet | Copulas (Mathematical statistics) Stochastic models. Copules (Statistique mathématique) Modèles stochastiques. MATHEMATICS Probability & Statistics Multivariate Analysis. Stochastic models |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=479878 |
| work_keys_str_mv | AT maijanfrederik simulatingcopulasstochasticmodelssamplingalgorithmsandapplications AT scherermatthias simulatingcopulasstochasticmodelssamplingalgorithmsandapplications |