An introduction to copulas (Book, 2006) []
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An introduction to copulas

Author: Roger B Nelsen
Publisher: New York : Springer, [2006] ©2006
Series: Springer series in statistics.
Edition/Format:   Print book : English : Second editionView all editions and formats
"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...

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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.
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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...


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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...

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