Efficiently sampling nested Archimedean copulas
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- scientific article; zbMATH DE number 1639863 (Why is no real title available?)
- scientific article; zbMATH DE number 3954145 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
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- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- CDO pricing with nested Archimedean copulas
- Efficient Generation of Logarithmically Distributed Pseudo-Random Variables
- Families of Multivariate Distributions
- Generalized Gamma measures and shot-noise Cox processes
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Multivariate distributions from mixtures of max-infinitely divisible distributions
- Sampling Archimedean copulas
- Sampling nested Archimedean copulas
- Survival models for heterogeneous populations derived from stable distributions
- Tempering stable processes
Cited in
(66)- Densities of nested Archimedean copulas
- Sampling exponentially tilted stable distributions
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- Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation
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- Posterior analysis of rare variants in Gibbs-type species sampling models
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- Dependence modeling in non-life insurance using the Bernstein copula
- A copula transformation in multivariate mixed discrete-continuous models
- Multinomial choice models based on Archimedean copulas
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- The tempered discrete Linnik distribution
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- Kendall's tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas
- COMPATIBILITY AND ATTAINABILITY OF MATRICES OF CORRELATION-BASED MEASURES OF CONCORDANCE
- Estimation of the association parameters in hierarchically clustered survival data by nested Archimedean copula functions
- Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions
- Multivariate Archimax copulas
- Importance conditional sampling for Pitman-Yor mixtures
- Copulae: an overview and recent developments
- Principal component analysis: a generalized Gini approach
- Hierarchical Archimedean copula models for the analysis of binary familial data
- On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
- Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family
- Sampling nested Archimedean copulas
- Right-truncated Archimedean and related copulas
- Sampling Archimedean copulas
- Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions
- Rediscovery of Good-Turing estimators via Bayesian nonparametrics
- Modeling defaults with nested Archimedean copulas
- Selecting and estimating regular vine copulae and application to financial returns
- Copula based hierarchical risk aggregation through sample reordering
- Likelihood inference for Archimedean copulas in high dimensions under known margins
- Sampling from Archimedean copulas
- A directory of families of infinitely extendible Archimedean copulas
- Penalized estimation of hierarchical Archimedean copula
- On tail dependence coefficients of transformed multivariate Archimedean copulas
- Comments on: Inference in multivariate Archimedean copula models
- A new multivariate quadrature rule for calculating statistical moments of stochastic response
- Hierarchical time series clustering on tail dependence with linkage based on a multivariate copula approach
- On partially Schur-constant models and their associated copulas
- Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case
- Random variate generation for Laguerre-type exponentially tilted \(\alpha\)-stable distributions
- Estimation of copula-based models for lifetime medical costs
- Investigating the correlation structure of quadrivariate udder infection times through hierarchical Archimedean copulas
- Hierarchical Archimedean copulas through multivariate compound distributions
- On structure, family and parameter estimation of hierarchical Archimedean copulas
- Sampling a survival and conditional class of Archimedean processes
- A stochastic representation and sampling algorithm for nested Archimedean copulas
- Sampling algorithms for generating joint uniform distributions using the Vine-Copula method
- Inference for overparametrized hierarchical Archimedean copulas
- On the structure and estimation of hierarchical Archimedean copulas
- Spline approximations to conditional Archimedean copula
- Approximating predictive probabilities of Gibbs-type priors
- A hierarchical copula-based world-wide valuation of sovereign risk
- Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs
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