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Computer file; Books
An introduction to copulas
- Author / Creator
- Available as
- Online
- Physical
- Summary
-
"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 st...
"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."--Jacket.
Details
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- Creator
- Roger B. Nelsen
- Format
- Computer file; Books
- Language
- English
- Publication
-
- Second edition
- New York : Springer, [2006]
- ©2006
- Physical Details
-
- xiii, 269 pages : illustrations ; 25 cm
- ISBNs
- 9780387509310, 1280938331, 9786610938339, 9780387286785, 0387286780, 9781441921093, 0387286594, 9780387286594, 1441921095
- OCLC
- ocm63204519, ocn209913409, ocn902397631
- Includes bibliographical references (pages 251-261) and index.
- 1. Introduction -- 2. Definitions and basic properties. 2.1. Preliminaries ; 2.2. Copulas ; 2.3. Sklar's theorem ; 2.4. Copulas and random variables ; 2.5. The Fréchet-Hoeffding bounds for joint distribution functions of random variables ; 2.6. Survival copulas ; 2.7. Symmetry ; 2.8. Order ; 2.9. Random variate generation ; 2.10. Multivariate copulas -- 3. Methods of constructing copulas. 3.1. The inversion method ; 3.2. Geometric methods ; 3.3. Algebraic methods ; 3.4. Copulas with specified properties ; 3.5. Constructing multivariate copulas -- 4. Archimedean copulas. 4.1. Definitions ; 4.2. One-parameter families ; 4.3. Fundamental properties ; 4.4. Order and limiting cases ; 4.5. Two-parameter families ; 4.6. Multivariate Archimedean copulas -- 5. Dependence. 5.1. Concordance ; 5.2. Dependence properties ; 5.3. Other measures of association ; 5.4. Tail dependence ; 5.5. Median regression ; 5.6. Empirical copulas ; 5.7. Multivariate dependence -- 6. Additional topics. 6.1. Distributions with fixed margins ; 6.2. Quasi-copulas ; 6.3. Operations on distribution functions ; 6.4. Markov processes