Generating copula-correlated random variables: a sequential acceptance-rejection method
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Cites work
- scientific article; zbMATH DE number 5080942 (Why is no real title available?)
- scientific article; zbMATH DE number 1416652 (Why is no real title available?)
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- Principles of copula theory
- Quasi-random numbers for copula models
- Random variate generation by numerical inversion when only the density is known
- Sampling Archimedean copulas
- Simulating risk contributions of credit portfolios
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