skip to content
An introduction to copulas Preview this item
ClosePreview this item
Checking...

An introduction to copulas

Author: Roger B Nelsen
Publisher: New York : Springer, ©2006.
Series: Springer series in statistics.
Edition/Format:   Print book : English : 2nd edView all editions and formats
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 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  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Roger B Nelsen
ISBN: 9780387286594 0387286594 9780387286785 0387286780 9781441921093 1441921095
OCLC Number: 63204519
Description: xiii, 269 pages : illustrations ; 25 cm
Contents: 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.
Series Title: Springer series in statistics.
Responsibility: Roger B. Nelsen.
More information:

Abstract:

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  Read more...

Reviews

Editorial reviews

Publisher Synopsis

From the reviews of the second edition:"This introductory and informative text on copulas is clearly written and from an educational standpoint will presented. With more than a hundred examples and Read more...

 
User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/63204519> # An introduction to copulas
    a schema:Book, schema:CreativeWork ;
    library:oclcnum "63204519" ;
    library:placeOfPublication <http://id.loc.gov/vocabulary/countries/nyu> ;
    library:placeOfPublication <http://dbpedia.org/resource/New_York_City> ; # New York
    schema:about <http://experiment.worldcat.org/entity/work/data/42481234#Topic/distribuicoes_probabilidade> ; # Distribuições (probabilidade)
    schema:about <http://experiment.worldcat.org/entity/work/data/42481234#Topic/probabilidade_aplicada> ; # Probabilidade aplicada
    schema:about <http://experiment.worldcat.org/entity/work/data/42481234#Topic/copulas_mathematical_statistics> ; # Copulas (Mathematical statistics)
    schema:about <http://experiment.worldcat.org/entity/work/data/42481234#Topic/functions> ; # FUNCTIONS
    schema:about <http://dewey.info/class/519.535/e22/> ;
    schema:about <http://experiment.worldcat.org/entity/work/data/42481234#Topic/ordenacao_estocastica> ; # Ordenação estocástica
    schema:about <http://experiment.worldcat.org/entity/work/data/42481234#Topic/copules_statistique_mathematique> ; # Copules (Statistique mathématique)
    schema:about <http://experiment.worldcat.org/entity/work/data/42481234#Topic/multivariate_analyse> ; # Multivariate analyse
    schema:about <http://experiment.worldcat.org/entity/work/data/42481234#Topic/kopula> ; # Kopula
    schema:bookEdition "2nd ed." ;
    schema:bookFormat bgn:PrintBook ;
    schema:copyrightYear "2006" ;
    schema:creator <http://viaf.org/viaf/27910089> ; # Roger B. Nelsen
    schema:datePublished "2006" ;
    schema:description "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."@en ;
    schema:exampleOfWork <http://worldcat.org/entity/work/id/42481234> ;
    schema:inLanguage "en" ;
    schema:isPartOf <http://experiment.worldcat.org/entity/work/data/42481234#Series/springer_series_in_statistics> ; # Springer series in statistics.
    schema:name "An introduction to copulas"@en ;
    schema:productID "63204519" ;
    schema:publication <http://www.worldcat.org/title/-/oclc/63204519#PublicationEvent/new_york_springer_2006> ;
    schema:publisher <http://experiment.worldcat.org/entity/work/data/42481234#Agent/springer> ; # Springer
    schema:reviews <http://www.worldcat.org/title/-/oclc/63204519#Review/-1669482285> ;
    schema:url <http://swbplus.bsz-bw.de/bsz253117445vlg.htm> ;
    schema:url <http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=014752196&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA> ;
    schema:url <http://swbplus.bsz-bw.de/bsz253117445vor-1.htm> ;
    schema:url <http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014752196&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA> ;
    schema:url <http://swbplus.bsz-bw.de/bsz253117445cov.htm> ;
    schema:url <http://deposit.ddb.de/cgi-bin/dokserv?id=2665354&prov=M&dok_var=1&dok_ext=htm> ;
    schema:url <http://swbplus.bsz-bw.de/bsz253117445vor.htm> ;
    schema:url <http://deposit.d-nb.de/cgi-bin/dokserv?id=2665354&prov=M&dok_var=1&dok_ext=htm> ;
    schema:url <http://catdir.loc.gov/catdir/toc/fy0611/2005933254.html> ;
    schema:url <http://swbplus.bsz-bw.de/bsz253117445inh.htm> ;
    schema:workExample <http://worldcat.org/isbn/9780387286785> ;
    schema:workExample <http://worldcat.org/isbn/9780387286594> ;
    schema:workExample <http://worldcat.org/isbn/9781441921093> ;
    wdrs:describedby <http://www.worldcat.org/title/-/oclc/63204519> ;
    .


Related Entities

<http://dbpedia.org/resource/New_York_City> # New York
    a schema:Place ;
    schema:name "New York" ;
    .

<http://experiment.worldcat.org/entity/work/data/42481234#Series/springer_series_in_statistics> # Springer series in statistics.
    a bgn:PublicationSeries ;
    schema:hasPart <http://www.worldcat.org/oclc/63204519> ; # An introduction to copulas
    schema:name "Springer series in statistics." ;
    schema:name "Springer Series in Statistics" ;
    .

<http://experiment.worldcat.org/entity/work/data/42481234#Topic/copulas_mathematical_statistics> # Copulas (Mathematical statistics)
    a schema:Intangible ;
    schema:name "Copulas (Mathematical statistics)"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/42481234#Topic/copules_statistique_mathematique> # Copules (Statistique mathématique)
    a schema:Intangible ;
    schema:name "Copules (Statistique mathématique)"@fr ;
    .

<http://experiment.worldcat.org/entity/work/data/42481234#Topic/distribuicoes_probabilidade> # Distribuições (probabilidade)
    a schema:Intangible ;
    schema:name "Distribuições (probabilidade)"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/42481234#Topic/multivariate_analyse> # Multivariate analyse
    a schema:Intangible ;
    schema:name "Multivariate analyse"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/42481234#Topic/ordenacao_estocastica> # Ordenação estocástica
    a schema:Intangible ;
    schema:name "Ordenação estocástica"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/42481234#Topic/probabilidade_aplicada> # Probabilidade aplicada
    a schema:Intangible ;
    schema:name "Probabilidade aplicada"@en ;
    .

<http://viaf.org/viaf/27910089> # Roger B. Nelsen
    a schema:Person ;
    schema:familyName "Nelsen" ;
    schema:givenName "Roger B." ;
    schema:name "Roger B. Nelsen" ;
    .

<http://worldcat.org/isbn/9780387286594>
    a schema:ProductModel ;
    schema:isbn "0387286594" ;
    schema:isbn "9780387286594" ;
    .

<http://worldcat.org/isbn/9780387286785>
    a schema:ProductModel ;
    schema:isbn "0387286780" ;
    schema:isbn "9780387286785" ;
    .

<http://worldcat.org/isbn/9781441921093>
    a schema:ProductModel ;
    schema:isbn "1441921095" ;
    schema:isbn "9781441921093" ;
    .

<http://www.worldcat.org/title/-/oclc/63204519#Review/-1669482285>
    a schema:Review ;
    schema:itemReviewed <http://www.worldcat.org/oclc/63204519> ; # An introduction to copulas
    schema:reviewBody ""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." ;
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.