[R] Need good Reference Material and Reading about Gaussian Copulas
Pfaff, Bernhard Dr.
Bernhard_Pfaff at fra.invesco.com
Wed Dec 12 16:48:34 CET 2007
Hello Neil,
you will find decent and well-written papers on:
http://www.math.ethz.ch/~embrecht/
http://www.ma.hw.ac.uk/~mcneil/
http://www.math.uni-leipzig.de/~tschmidt/#publications
Best,
Bernhard
ps: Incidentally, the monograph http://press.princeton.edu/titles/8056.html contains nice illustrations too. See packages QRMlib, Copula (JSS: Enjoy the Joy of Copulas: With a Package copula, Vol. 21, Issue 4, Oct 2007), mlCopulaSelection, sbgcop and fCopulae on CRAN for implementations of copulae.
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>[mailto:r-help-bounces at r-project.org] Im Auftrag von
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>Gesendet: Mittwoch, 12. Dezember 2007 16:25
>An: R-help at r-project.org
>Betreff: [R] Need good Reference Material and Reading about
>Gaussian Copulas
>
>Can anyone advise me on some pratical papers or books
>On Gaussian Copulas? Anything in the genre of Copulas Dummies
>Would be a help.
>
>As simpe, and approachable with minimal pedantic style.
>Thanks,
>Neil
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