Sampling nested Archimedean copulas
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Publication:3518409
DOI10.1080/00949650701255834zbMATH Open1221.00061OpenAlexW2162585472MaRDI QIDQ3518409FDOQ3518409
Authors: Alexander J. McNeil 
Publication date: 7 August 2008
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949650701255834
Recommendations
Characteristic functions; other transforms (60E10) Exact distribution theory in statistics (62E15) Monte Carlo methods (65C05) General theory of simulation (00A72) Pseudo-random numbers; Monte Carlo methods (11K45)
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Cited In (85)
- Densities of nested Archimedean copulas
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- Sampling from hierarchical Kendall copulas
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- A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks
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- Constructing hierarchical archimedean copulas with Lévy subordinators
- Rank-based methods for modeling dependence between loss triangles
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- CDO pricing with nested Archimedean copulas
- The finite sample properties of sparse M-estimators with pseudo-observations
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- Sampling from Archimedean n-copulas
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- A compendium of copulas
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- On a construction of multivariate distributions given some multidimensional marginals
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- Sampling Archimedean copulas
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- Hierarchical structures in the aggregation of premium risk for insurance underwriting
- The infinite extendibility problem for exchangeable real-valued random vectors
- Fitting high-dimensional copulae to data
- Matching a correlation coefficient by a Gaussian copula
- A framework for measuring association of random vectors via collapsed random variables
- Sample size calculation for clustered survival data under subunit randomization
- Hierarchical Archimedean dependence in common shock models
- Modeling dependent series systems with q-Weibull distribution and Clayton copula
- 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
- Exploring the variance contributions of correlated model parameters: a sampling-based approach and its application in traffic simulation models
- Estimation of the association parameters in hierarchically clustered survival data by nested Archimedean copula functions
- Group sequential testing for cluster randomized trials with time‐to‐event endpoint
- Principal component analysis: a generalized Gini approach
- About the exact simulation of bivariate (reciprocal) Archimax copulas
- Right-truncated Archimedean and related copulas
- Copulas, stable tail dependence functions, and multivariate monotonicity
- Copula modeling from Abe Sklar to the present day
- Multivariate tail dependence and local stochastic dominance
- Penalized estimation of hierarchical Archimedean copula
- Quasi-Random Sampling for Multivariate Distributions via Generative Neural Networks
- On partially Schur-constant models and their associated copulas
- Spatial dependence and aggregation in weather risk hedging: a Lévy subordinated hierarchical Archimedean copulas (LSHAC) approach
- Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case
- Investigating the correlation structure of quadrivariate udder infection times through hierarchical Archimedean copulas
- Sampling a survival and conditional class of Archimedean processes
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