An Introduction to Copulas (Springer Series in Statistics) by Roger B. Nelsen

By Roger B. Nelsen

Copulas are services that sign up for multivariate distribution services to their one-dimensional margins. The examine of copulas and their function in facts is a brand new yet vigorously becoming box. during this booklet the coed or practitioner of data and chance will locate discussions of the elemental houses of copulas and a few in their fundamental purposes. The functions comprise the research of dependence and measures of organization, and the development of households of bivariate distributions. With 116 examples, fifty four figures, and 167 routines, this booklet is appropriate as a textual content or for self-study. the single prerequisite is an higher point undergraduate path in chance and mathematical information, even if a few familiarity with nonparametric facts will be worthwhile. wisdom of measure-theoretic chance isn't really required. The revised moment variation comprises new sections on severe price copulas, tail dependence, and quasi-copulas.

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