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An Introduction to Copulas

  • Roger B. Nelsen

Part of the Springer Series in Statistics book series (SSS)

Table of contents

  1. Front Matter
    Pages i-xiii
  2. Pages 1-5
  3. Pages 109-155
  4. Pages 157-225
  5. Pages 227-249
  6. Back Matter
    Pages 251-269

About this book

Introduction

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 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.

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 and Proofs Without Words II: More Exercises in Visual Thinking, published by the Mathematical Association of America.

Keywords

Measures of association Multivariate distributions Parametric statistics Statistical models copula dependence mathematical statistics statistics

Authors and affiliations

  • Roger B. Nelsen
    • 1
  1. 1.Department of Mathematical SciencesLewis & Clark CollegePortlandUSA

Bibliographic information

  • DOI https://doi.org/10.1007/0-387-28678-0
  • Copyright Information Springer Science+Business Media, Inc. 2006
  • Publisher Name Springer, New York, NY
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-0-387-28659-4
  • Online ISBN 978-0-387-28678-5
  • Series Print ISSN 0172-7397
  • Buy this book on publisher's site