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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:
9781441921093
Author:
Nelsen, Roger B.
Publisher:
Springer
Location:
New York, NY
Subject:
Statistics
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 | Probability and Statistics
Subject:
Simulation and Modeling
Subject:
B
Subject:
mathematics and statistics
Subject:
Mathematical statistics
Subject:
Economics_xStatistics
Subject:
Distribution (Probability theory)
Subject:
Finance
Subject:
Computer simulation
Copyright:
Edition Description:
Softcover reprint of hardcover 2nd ed. 2006
Series:
Springer Series in Statistics
Publication Date:
20101119
Binding:
TRADE PAPER
Language:
English
Pages:
285
Dimensions:
235 x 155 mm 434 gr

Related Subjects

Business » Accounting and Finance
Computers and Internet » Computers Reference » Computer Simulation
Science and Mathematics » Mathematics » Probability and Statistics » General
Science and Mathematics » Mathematics » Probability and Statistics » Statistics

An Introduction to Copulas (Springer Series in Statistics) New Trade Paper
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Product details 285 pages Springer - English 9781441921093 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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