Stochastic Models, Sampling Algorithms, and Applications
by
Jan-Frederik Mai, Matthias Scherer
Language: English
Release Date: June 7, 2017
The book provides the 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,...