Quasi-random numbers for copula models

DOI10.1007/s11222-016-9688-4zbMath1505.62085arXiv1508.03483OpenAlexW2199283642MaRDI QIDQ2361476

Christiane Lemieux, Marius Hofert, Mathieu Cambou

Publication date: 30 June 2017

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.03483

zbMATH Keywords

copulasrisk measuresquasi-random numberstail eventsconditional distribution methodMarshall-Olkin algorithm

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Random number generation in numerical analysis (65C10)

Related Items (9)

Quasi-Random Sampling for Multivariate Distributions via Generative Neural Networks ⋮ Single-index importance sampling with stratification ⋮ Copula-based link functions in binary regression models ⋮ Discrepancy-based inference for intractable generative models using quasi-Monte Carlo ⋮ On exact distribution for multivariate weighted distributions and classification ⋮ Importance Sampling and Stratification for Copula Models ⋮ Transformations and Hardy--Krause Variation ⋮ Estimation of risk contributions with MCMC ⋮ A goodness-of-fit test for copulas based on the collision test

Uses Software

• Algorithm 823
• nacopula
• QRM
• CopulaModel

Cites Work

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