Product Description

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.

Product Details

• Amazon Sales Rank: #462208 in Books
• Published on: 2007-10-01
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 270 pages

Review

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 over 160 exercise, this book is suitable as a textbook or for self-study. The only prerequisite is an upper level undergraduate course in probability and mathematical statistics. The second edition maintains the basic organizing of the material and the general level of presentation as the first one from 1999. The major additions are sections on: copula transformation methods; extreme value copulas; copulas with specific analytic or functional properties; tail dependence and quasi-copulas. " (Piotr Jaworski, Zentrablatt MATH, 2009, 1152)

"This introductory and informative text on copulas … is clearly written and from an educational standpoint well presented. … In addition to its primary use as an introductory book on copulas, this text could also serve as a complement to a graduate course or seminar in multivariate analysis focusing on dependence concepts. Readership: people interested in dependence concepts in multivariate analysis. … many will be pleased to have a copy of this new text in their personal library … ." (Radu Theodorescu, Mathematical Reviews, 2006 i)

About the Author
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.

Customer Reviews

Copula theory - an excellent introduction
This is a great introduction to the area for those already possessing good mathematical ability and knowledge of distribution theory. All the seminal theorems and references are in here and the reader would be wise to check them out. Well written and communicated, didn't find any typo's. Enjoyed it. This area is fast growing in the area of mathematical finance.

Review of `an introduction to copulas'
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.

Note: the paperback edition is out of date
I just got this book, so I can't comment on the contents yet. However, I feel quite ripped off, because this is the previous edition. The hardcover, which is only $20 more is a new second edition, while the paperback is from 1999.