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An Introduction to Copulas (Springer Series in Statistics)

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Synopses & Reviews

Publisher Comments:

Copulas are functions that join multivariate distribution functions to their one-dimensional margins. The study of copulas and their role in statistics is a new but vigorously growing field. In this book the student or practitioner of statistics and probability will find discussions of the fundamental properties of copulas and some of their primary applications. The applications include the study of dependence and measures of association, and the construction of families of bivariate distributions. With 116 examples, 54 figures, and 167 exercises, this book is suitable as a text or for self-study. The only prerequisite is an upper level undergraduate course in probability and mathematical statistics, although some familiarity with nonparametric statistics would be useful. Knowledge of measure-theoretic probability is not required. The revised second edition includes new sections on extreme value copulas, tail dependence, and quasi-copulas. Roger B. Nelsen is Professor of Mathematics at Lewis & Clark College in Portland, Oregon. He is also the author of Proofs Without Words: Exercises in Visual Thinking and Proofs Without Words II: More Exercises in Visual Thinking, published by the Mathematical Association of America.

Synopsis:

The study of copulas and their role in statistics is a new but vigorously growing field. In this book the student or practitioner of statistics and probability will find discussions of the fundamental properties of copulas and some of their primary applications. The applications include the study of dependence and measures of association, and the construction of families of bivariate distributions. This book is suitable as a text or for self-study.

Table of Contents

Introduction.- Definitions and Basic Properties.- Methods of Constructing Copulas.- Archimedean Copulas.- Dependence.- Additional Topics.

Product Details

ISBN:
9780387286594
Author:
Nelsen, Roger B.
Publisher:
Springer
Author:
Nelsen, R. B.
Subject:
Computer Science
Subject:
Finance
Subject:
Statistics
Subject:
Copulas (Mathematical statistics)
Subject:
Probability & Statistics - General
Subject:
Measures of association
Subject:
multivariate distributions
Subject:
statistical models
Subject:
copula
Subject:
Dependence
Subject:
Statistical Theory and Methods
Subject:
Statistics for Business/Economics/Mathematical Finance/Insurance
Subject:
Probability Theory and Stochastic Processes
Subject:
Quantitative Finance
Subject:
Simulation and Modeling Copulas are functions that join multivariate distribution functions to their one-dimensional margins. The study of copulas and their role in statistics is a new but vigorously growing field. In this book the student or practitioner
Subject:
Mathematics - Statistics
Subject:
Simulation and Modeling
Copyright:
Edition Number:
2
Edition Description:
2nd ed. 2006. Corr. 2nd. printing
Series:
Springer Series in Statistics
Publication Date:
20060113
Binding:
HARDCOVER
Language:
English
Illustrations:
Y
Pages:
285
Dimensions:
235 x 155 mm 602 gr

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Science and Mathematics » Nature Studies » General

An Introduction to Copulas (Springer Series in Statistics) New Hardcover
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Product details 285 pages Springer - English 9780387286594 Reviews:
"Synopsis" by , The study of copulas and their role in statistics is a new but vigorously growing field. In this book the student or practitioner of statistics and probability will find discussions of the fundamental properties of copulas and some of their primary applications. The applications include the study of dependence and measures of association, and the construction of families of bivariate distributions. This book is suitable as a text or for self-study.
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