An Introduction to Copulas (Springer Series in Statistics)
by Roger B. Nelsen
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Book Summary Information
Author: Roger B. NelsenEdition: Hardcover
Audio: English (Original Language); English (Unknown); English (Published)
Published: 2007-10-01
ISBN: 0387286594
Number of pages: 270
Publisher: Springer
Accessories:
- Modelling and Control of Robot Manipulators (Advanced Textbooks in Control and Signal Processing)
- Numerical Geometry of Images: Theory, Algorithms, and Applications
Book Reviews of An Introduction to Copulas (Springer Series in Statistics)
Book Review: Review of `an introduction to copulas'
Summary: 5 Stars
This is the second edition of THE book on copulas; there are others, eg Joe, and Drouet and Kotz, but this is the best reference work I know of on this topic. The second edition does not frankly have a huge amount of new content; the most obvious is the very useful set of scatterplots used to illustrate the appearance of copulas. This I think shows up some properties like symmetry better than equations could do. If I had purchased the first edition, I probably wouldn't feel it had been worth upgrading---it depends on how deeply you are `into' this topic. On the other hand it's reassuring that there hasn't been a lot of recent work we didn't know about!
I thoroughly recommend this book, and, if I meet the author, I shall reckon that he owes me a drink.
Summary of An Introduction to Copulas (Springer Series in Statistics)
Copulas are functions that join multivariate distribution functions to their one-dimensional margins. 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 fundamental properties of copulas and some of their primary applications. The applications include the study of dependence and measures of association, and the construction of families of bivariate distributions. With nearly a hundred examples and over 150 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. Roger B. Nelsen is Professor of Mathematics at Lewis & Clark College in Portland, Oregon. He is also the author of "Proofs Without Words: Exercises in Visual Thinking," published by the Mathematical Association of America.Statistics Books
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