Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case (Q2178938): Difference between revisions

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+https://doi.org/10.1515/demo-2019-0010
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+W2955461881
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+Hierarchical Archimedean copulas through multivariate compound distributions
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+Estimation of hierarchical Archimedean copulas as a shortest path problem
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+Q3996150
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+Kendall's tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas
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+Constructing hierarchical archimedean copulas with Lévy subordinators
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+Pricing distressed CDOs with stochastic recovery
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+Sampling Archimedean copulas
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+Efficiently sampling nested Archimedean copulas
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+A stochastic representation and sampling algorithm for nested Archimedean copulas
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+Densities of nested Archimedean copulas
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+CDO pricing with nested Archimedean copulas
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+Q4382161
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+Simulating Copulas
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+Families of Multivariate Distributions
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+Sampling nested Archimedean copulas
@@ Property / cites work: Sampling nested Archimedean copulas / rank @@
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+Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
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+On the structure and estimation of hierarchical Archimedean copulas
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+Higher order monotonic functions of several variables
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+A multivariate version of Williamson's theorem, \(\ell^1\)-symmetric survival functions, and generalized Archimedean copulas
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+On the construction of nested Archimedean copulas for \(d\)-monotone generators
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+Hierarchies of Archimedean copulas
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+Nonparametric estimation of the tree structure of a nested Archimedean copula
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+On the estimation of nested Archimedean copulas: a theoretical and an experimental comparison
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+Multiply monotone functions and their Laplace transforms
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+Publication:2178938