An Introduction to Copulas

Roger B. Nelsen (Autor)

Buch | Softcover

272 Seiten

2010 | Softcover reprint of hardcover 2nd ed. 2006
Springer-Verlag New York Inc.
978-1-4419-2109-3 (ISBN)

Artikel merken

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.

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

Erscheint lt. Verlag	19.11.2010
Reihe/Serie	Springer Series in Statistics
Zusatzinfo	XIV, 272 p.
Verlagsort	New York, NY
Sprache	englisch
Maße	155 x 235 mm
Themenwelt	Informatik ► Grafik / Design ► Digitale Bildverarbeitung
	Mathematik / Informatik ► Informatik ► Theorie / Studium
	Mathematik / Informatik ► Mathematik ► Finanz- / Wirtschaftsmathematik
	Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
	Wirtschaft ► Betriebswirtschaft / Management
ISBN-10	1-4419-2109-5 / 1441921095
ISBN-13	978-1-4419-2109-3 / 9781441921093
Zustand	Neuware