Simulating from Exchangeable Archimedean Copulas

DOI10.1080/03610910701539781zbMath1126.62041OpenAlexW2011582975MaRDI QIDQ5436420

Michael Sherris, Emiliano A. Valdez, Florence Wu

Publication date: 16 January 2008

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910701539781

zbMATH Keywords

simulationArchimedean copulas

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Quasi-random numbers for copula models ⋮ THE JOINT DISTRIBUTION OF STOCK RETURNS IS NOT ELLIPTICAL ⋮ Mutual information as a measure of multivariate association: analytical properties and statistical estimation ⋮ Estimating Archimedean Copulas in High Dimensions ⋮ Modeling spot price dependence in Australian electricity markets with applications to risk management ⋮ Sampling from Archimedean n-copulas ⋮ Matching a correlation coefficient by a Gaussian copula ⋮ Dependence Model Assessment and Selection with DecoupleNets ⋮ Dependence modelling in insurance via copulas with skewed generalised hyperbolic marginals ⋮ Likelihood inference for Archimedean copulas in high dimensions under known margins ⋮ Hierarchical Kendall copulas: Properties and inference ⋮ Adaptive importance sampling for simulating copula-based distributions ⋮ Benford's law beyond independence : tracking Benford behavior in copula models ⋮ Sampling Archimedean copulas ⋮ Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index ⋮ Comments on: Inference in multivariate Archimedean copula models

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• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Upper and lower bounds for sums of random variables
• On the multivariate probability integral transformation

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