A stochastic representation and sampling algorithm for nested Archimedean copulas
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Cites work
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- A probabilistic interpretation of complete monotonicity
- An introduction to copulas.
- Efficient Generation of Logarithmically Distributed Pseudo-Random Variables
- Efficiently sampling nested Archimedean copulas
- Generalized hypergeometric, digamma and trigamma distributions
- Goodness-of-fit tests for parametric families of Archimedean copulas
- Modeling defaults with nested Archimedean copulas
- Modelling heavy-tailed count data using a generalised Poisson-inverse Gaussian family
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Multivariate distributions from mixtures of max-infinitely divisible distributions
- Random variate generation for exponentially and polynomially tilted stable distributions
- Sampling exponentially tilted stable distributions
- Sampling nested Archimedean copulas
- Scaled Sibuya distribution and discrete self-decomposability
Cited in
(27)- Densities of nested Archimedean copulas
- A copula duration model with dependent states and spells
- Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation
- On the construction of nested Archimedean copulas for \(d\)-monotone generators
- Construction and sampling of Archimedean and nested Archimedean Lévy copulas
- Pairwise and global dependence in trivariate copula models
- Nonparametric estimation of the tree structure of a nested Archimedean copula
- Hierarchical Archimax copulas
- Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
- A framework for measuring association of random vectors via collapsed random variables
- Multinomial choice models based on Archimedean copulas
- COMPATIBILITY AND ATTAINABILITY OF MATRICES OF CORRELATION-BASED MEASURES OF CONCORDANCE
- Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions
- Uncertainty quantification for the family-wise error rate in multivariate copula models
- Sampling nested Archimedean copulas
- Sampling Archimedean copulas
- Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions
- Likelihood inference for Archimedean copulas in high dimensions under known margins
- Sampling from Archimedean copulas
- Quasi-Random Sampling for Multivariate Distributions via Generative Neural Networks
- Reparameterizing Marshall–Olkin copulas with applications to sampling
- Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case
- Efficiently sampling nested Archimedean copulas
- A nested copula duration model for competing risks with multiple spells
- Hierarchical Archimedean copulas through multivariate compound distributions
- On structure, family and parameter estimation of hierarchical Archimedean copulas
- On the structure and estimation of hierarchical Archimedean copulas
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