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Principles of Copula Theory
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Fabrizio Durante (Free University of Bozen-Bolzano, Italy) Carlo Sempi (University of Salento, Lecce, Italy)
Principles of Copula Theory by Fabrizio Durante (Free University of Bozen-Bolzano, Italy) at Abbey's Bookshop,

Principles of Copula Theory

Fabrizio Durante (Free University of Bozen-Bolzano, Italy) Carlo Sempi (University of Salento, Lecce, Italy)


Whittles Publishing

Economic statistics;
Probability & statistics;
Applied mathematics


332 pages

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Principles of Copula Theory explores the state of the art on copulas and provides you with the foundation to use copulas in a variety of applications. Throughout the book, historical remarks and further readings highlight active research in the field, including new results, streamlined presentations, and new proofs of old results.

After covering the essentials of copula theory, the book addresses the issue of modeling dependence among components of a random vector using copulas. It then presents copulas from the point of view of measure theory, compares methods for the approximation of copulas, and discusses the Markov product for 2-copulas. The authors also examine selected families of copulas that possess appealing features from both theoretical and applied viewpoints. The book concludes with in-depth discussions on two generalizations of copulas: quasi- and semi-copulas.

Although copulas are not the solution to all stochastic problems, they are an indispensable tool for understanding several problems about stochastic dependence. This book gives you the solid and formal mathematical background to apply copulas to a range of mathematical areas, such as probability, real analysis, measure theory, and algebraic structures.

By:   Fabrizio Durante (Free University of Bozen-Bolzano Italy), Carlo Sempi (University of Salento, Lecce, Italy)
Imprint:   Whittles Publishing
Country of Publication:   United Kingdom
Dimensions:   Height: 235mm,  Width: 156mm, 
Weight:   612g
ISBN:   9781439884423
ISBN 10:   1439884420
Pages:   332
Publication Date:   July 2015
Audience:   College/higher education ,  Professional and scholarly ,  Primary ,  Undergraduate
Format:   Hardback
Publisher's Status:   Active

Fabrizio Durante is a professor in the Faculty of Economics and Management at the Free University of Bozen-Bolzano. He is an associate editor of Computational Statistics & Data Analysis and Dependence Modeling. His research focuses on multivariate dependence models with copulas, reliability theory and survival analysis, and quantitative risk management. He earned a PhD in mathematics from the University of Lecce and habilitation in mathematics from the Johannes Kepler University Linz. Carlo Sempi is a professor in the Department of Mathematics and Physics at the University of Salento. He has published nearly 100 articles in many journals. His research interests include copulas, quasi-copulas, semi-copulas, weak convergence, metric spaces, and normed spaces. He earned a PhD in applied mathematics from the University of Waterloo.

This book represents a rigourous introduction to the theory of copula models, the biggest and the most thorough yet at that. The level of detail and rigour targets mathematicians working in probability theory. The exposition starts with an overview of the history of the subject followed by eight chapters laying out the theory of Copula models. The idea of the book was to present modern theoretical foundations for Copula models now that the field has seen over 50 years of research that has greatly accelerated recently with the development of applications in Finance, Operations Research, Statistics and Biostatistics. ... For a mathematically-oriented researcher in Statistics, Biostatistics and Applied Probability, and further in the specific applied fields of science, the book will serve as a reference for theoretical ideas potentially inspiring applied theory development. - Alex Tsodikov, University of Michigan, in International Statistical Review, December 2017

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