Constructing hierarchical archimedean copulas with Lévy subordinators

DOI10.1016/j.jmva.2009.10.005zbMath1194.60017MaRDI QIDQ968494

Jan-Frederik Mai, Matthias Scherer, Marius Hofert, Christian Hering

Publication date: 5 May 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2009.10.005

zbMATH Keywords

Lévy subordinators; sampling algorithm; hierarchical Archimedean copulas

Mathematics Subject Classification ID

62H99: Multivariate analysis

60E10: Characteristic functions; other transforms

60E05: Probability distributions: general theory

65C10: Random number generation in numerical analysis

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