Efficiently sampling nested Archimedean copulas

DOI10.1016/j.csda.2010.04.025zbMath1247.62132OpenAlexW2061603105MaRDI QIDQ452526

Marius Hofert

Publication date: 15 September 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2010.04.025

zbMATH Keywords

LaplaceStieltjes transformsArchimedean copulasexponentially tilted stable distributionssampling algorithms

Mathematics Subject Classification ID

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Uses Software

• QRM

Cites Work

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• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Tempering stable processes
• Sampling Archimedean copulas
• Multivariate distributions from mixtures of max-infinitely divisible distributions
• CDO pricing with nested Archimedean copulas
• Sampling nested Archimedean copulas
• Survival models for heterogeneous populations derived from stable distributions
• Efficient Generation of Logarithmically Distributed Pseudo-Random Variables
• Families of Multivariate Distributions
• Generalized Gamma measures and shot-noise Cox processes

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