Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case

DOI10.1515/DEMO-2019-0010MaRDI QIDQ2178938zbMATH OpenOpenAlexFDO

Authors Jan-Frederik Mai

Publication date 12 May 2020

Published in Dependence Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/demo-2019-0010

zbMATH Keywords

\(d\)-monotonecopulahierarchical Archimedean copulasimulation

Mathematics Subject Classification ID

Monotonic functions, generalizations (26A48) Probability distributions: general theory (60E05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Multivariate distribution of statistics (62H10)

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Cites work

• A multivariate version of Williamson's theorem, \(\ell^1\)-symmetric survival functions, and generalized Archimedean copulas
• A stochastic representation and sampling algorithm for nested Archimedean copulas
• CDO pricing with nested Archimedean copulas
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• Densities of nested Archimedean copulas
• Efficiently sampling nested Archimedean copulas
• Estimation of hierarchical Archimedean copulas as a shortest path problem
• Families of Multivariate Distributions
• Hierarchical Archimedean copulas through multivariate compound distributions
• Hierarchies of Archimedean copulas
• Higher order monotonic functions of several variables
• scientific article; zbMATH DE number 45785 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• Kendall's tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas
• Multiply monotone functions and their Laplace transforms
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• Nonparametric estimation of the tree structure of a nested Archimedean copula
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• On the estimation of nested Archimedean copulas: a theoretical and an experimental comparison
• On the structure and estimation of hierarchical Archimedean copulas
• Pricing distressed CDOs with stochastic recovery
• Sampling Archimedean copulas
• Sampling nested Archimedean copulas
• Simulating Copulas

Cited in

(6)

• About the exact simulation of bivariate (reciprocal) Archimax copulas
• The infinite extendibility problem for exchangeable real-valued random vectors
• Sampling from hierarchical Kendall copulas
• Penalized estimation of hierarchical Archimedean copula
• Exact simulation of reciprocal Archimedean copulas
• Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs

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