Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions
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Publication:730891
DOI10.1016/J.INS.2008.09.004zbMath1171.62036OpenAlexW1967067650MaRDI QIDQ730891
Matthias Scherer, Jan-Frederik Mai
Publication date: 1 October 2009
Published in: Information Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ins.2008.09.004
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
Related Items (6)
The deFinetti representation of generalised Marshall-Olkin sequences ⋮ Supermigrative semi-copulas and triangular norms ⋮ Sampling Exchangeable and Hierarchical Marshall-Olkin Distributions ⋮ Reparameterizing Marshall–Olkin copulas with applications to sampling ⋮ Lévy-frailty copulas ⋮ Contributions to the diagonal expansion of a bivariate copula with continuous extensions
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