An Introduction to Copulas

Reviews / Votes

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)