An Introduction To Copulas

Copulas are functions that join multivariate distribution functions to theironedimensional margins. The study of copulas and their role in statistics is anew bu... » 

Copulas are functions that join multivariate distribution functions to theironedimensional margins. The study of copulas and their role in statistics is anew but vigorously growing field. In this book the student or practitioner ofstatistics and probability will find discussions of the fundamental propertiesof copulas and some of their primary applications. The applications include thestudy of dependence and measures of association and the construction offamilies of bivariate distributions. With 116 examples 54 figures and 167exercises this book is suitable as a text or for selfstudy. The onlyprerequisite is an upper level undergraduate course in probability andmathematical statistics although some familiarity with nonparametricstatistics would be useful. Knowledge of measuretheoretic probability is notrequired. The revised second edition includes new sections on extreme valuecopulas tail dependence and quasicopulas. TOCIntroduction. Definitions andBasic Properties. Methods of Constructing Copulas. Archimedean Copulas.Dependence. Additional Topics. «