A general approach to generate random variates for multivariate copulae
From MaRDI portal
Recommendations
- Simulation of some multivariate distributions
- Sampling from Archimedean copulas
- Simulating from Exchangeable Archimedean Copulas
- Simulating copulas. Stochastic models, sampling algorithms and applications. With contributions by Claudia Czado, Elke Korn, Ralf Korn and Jakob Stöber
- Simulation of multivariate extreme values
Cites work
- A diagnostic for selecting the threshold in extreme value analysis
- A note on the convergence analysis of a sparse grid multivariate probability density estimator
- A rejection technique for sampling from T -concave distributions
- A rejection technique for sampling from log-concave multivariate distributions
- A sweep-plane algorithm for generating random tuples in simple polytopes
- An introduction to copulas.
- Automatic evaluations of cross-derivatives
- Dependence modeling with copulas
- Distribution and dependence-function estimation for bivariate extreme-value distributions.
- Estimating probabilities for normal extremes
- Evaluating Derivatives
- Extreme market risk and extreme value theory
- Extreme Value Modeling and Risk Analysis
- Extreme value theory. An introduction.
- Extremes and related properties of random sequences and processes
- scientific article; zbMATH DE number 5898106 (Why is no real title available?)
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 3954145 (Why is no real title available?)
- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 2148863 (Why is no real title available?)
- scientific article; zbMATH DE number 1850460 (Why is no real title available?)
- Introduction to Probability
- Likelihood inference for Archimedean copulas in high dimensions under known margins
- Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials
- Nonparametric estimation of an extreme-value copula in arbitrary dimensions
- Nonparametric estimation of multivariate extreme-value copulas
- Nonparametric estimation of the dependence function for a multivariate extreme value distribution
- Nonparametric kernel regression subject to monotonicity constraints
- On the Estimation of a Convex Set From Noisy Data on Its Support Function
- On the estimation of extreme tail probabilities
- On the influence of extremes on the rate of convergence in the central limit theorem
- On the rate of convergence of normal extremes
- Prediction Regions for Bivariate Extreme Events
- Principles of copula theory
- Reducing variability using bootstrap methods with qualitative constraints
- Representations and limit theorems for extreme value distributions
- Simulating copulas. Stochastic models, sampling algorithms and applications. With contributions by Claudia Czado, Elke Korn, Ralf Korn and Jakob Stöber
- Simulating multivariate extreme value distributions of logistic type
- Simulation of multivariate extreme values
- Testing and estimating shape-constrained nonparametric density and regression in the presence of measurement error
- Tests for monotonicity of a regression mean with guaranteed level
Cited in
(5)
This page was built for publication: A general approach to generate random variates for multivariate copulae
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4639821)