The book explores the state of the art on copulas, After covering the esseentilas of copula theory, the book addresses the issue of modelling dependence among components of a random vector using copulas. It presents copulas from the point of view of meaure theory, compares methods for the approximation of copulas, and discusses the Markov product for 2-copulas. Selected families of copulas are examined that possess appealing featuers from both theoretical and applied viewpoints. The book concludes with in-depth discussions on two generalisations of copulas: quasi- and semi-copulas.
Principles of copula theory
DURANTE, FABRIZIO;SEMPI, Carlo
2016-01-01
Abstract
The book explores the state of the art on copulas, After covering the esseentilas of copula theory, the book addresses the issue of modelling dependence among components of a random vector using copulas. It presents copulas from the point of view of meaure theory, compares methods for the approximation of copulas, and discusses the Markov product for 2-copulas. Selected families of copulas are examined that possess appealing featuers from both theoretical and applied viewpoints. The book concludes with in-depth discussions on two generalisations of copulas: quasi- and semi-copulas.File in questo prodotto:
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