Sampling nested Archimedean copulas
From MaRDI portal
Publication:3518409
DOI10.1080/00949650701255834zbMath1221.00061OpenAlexW2162585472MaRDI QIDQ3518409
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
Exact distribution theory in statistics (62E15) Monte Carlo methods (65C05) Characteristic functions; other transforms (60E10) General theory of simulation (00A72) Pseudo-random numbers; Monte Carlo methods (11K45)
Related Items (78)
Kendall's tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas ⋮ Sample size calculation for clustered survival data under subunit randomization ⋮ Nonparametric estimation of the tree structure of a nested Archimedean copula ⋮ SCOMDY models based on pair-copula constructions with application to exchange rates ⋮ Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs ⋮ Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation ⋮ Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions ⋮ Estimation of the association parameters in hierarchically clustered survival data by nested Archimedean copula functions ⋮ Finite normal mixture copulas for multivariate discrete data modeling ⋮ De copulis non est disputandum. Copulae: an overview ⋮ A stochastic representation and sampling algorithm for nested Archimedean copulas ⋮ On the estimation of nested Archimedean copulas: a theoretical and an experimental comparison ⋮ Quasi-Random Sampling for Multivariate Distributions via Generative Neural Networks ⋮ SPATIAL DEPENDENCE AND AGGREGATION IN WEATHER RISK HEDGING: A LÉVY SUBORDINATED HIERARCHICAL ARCHIMEDEAN COPULAS (LSHAC) APPROACH ⋮ Sampling from Archimedean n-copulas ⋮ Hierarchical Archimax copulas ⋮ Matching a correlation coefficient by a Gaussian copula ⋮ A note on upper-patched generators for Archimedean copulas ⋮ Multivariate hierarchical copulas with shocks ⋮ Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case ⋮ Copulas, stable tail dependence functions, and multivariate monotonicity ⋮ Risk aggregation in Solvency II through recursive log-normals ⋮ Densities of nested Archimedean copulas ⋮ On the Construction of Radially Symmetric Trivariate Copulas ⋮ Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions ⋮ Group sequential testing for cluster randomized trials with time‐to‐event endpoint ⋮ On the construction of nested Archimedean copulas for \(d\)-monotone generators ⋮ Modeling defaults with nested Archimedean copulas ⋮ On structure, family and parameter estimation of hierarchical Archimedean copulas ⋮ Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications ⋮ Multivariate tail dependence and local stochastic dominance ⋮ Penalized estimation of hierarchical Archimedean copula ⋮ Copula modeling from Abe Sklar to the present day ⋮ The infinite extendibility problem for exchangeable real-valued random vectors ⋮ Copula-based semiparametric models for multivariate time series ⋮ \(H\)-extendible copulas ⋮ Efficiently sampling nested Archimedean copulas ⋮ Kendall's tau for hierarchical data ⋮ Thetcopula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management ⋮ Modeling the dependence of losses of a financial portfolio using nested Archimedean copulas ⋮ CDO pricing with nested Archimedean copulas ⋮ Importance sampling from posterior distributions using copula-like approximations ⋮ Estimation of copula-based models for lifetime medical costs ⋮ Hierarchical Archimedean dependence in common shock models ⋮ Modeling dependent series systems with q-Weibull distribution and Clayton copula ⋮ Exploring the variance contributions of correlated model parameters: a sampling-based approach and its application in traffic simulation models ⋮ On the structure and estimation of hierarchical Archimedean copulas ⋮ A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks ⋮ Properties of hierarchical Archimedean copulas ⋮ A framework for measuring association of random vectors via collapsed random variables ⋮ Quantifying the impact of different copulas in a generalized CreditRisk+ framework An empirical study ⋮ Sampling Exchangeable and Hierarchical Marshall-Olkin Distributions ⋮ Constructing hierarchical archimedean copulas with Lévy subordinators ⋮ Pair-copula constructions of multiple dependence ⋮ Pricing distressed CDOs with stochastic recovery ⋮ From Archimedean to Liouville copulas ⋮ Investigating the correlation structure of quadrivariate udder infection times through hierarchical Archimedean copulas ⋮ Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas ⋮ Principal component analysis: a generalized Gini approach ⋮ Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models ⋮ On an asymmetric extension of multivariate Archimedean copulas based on quadratic form ⋮ Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions ⋮ On a construction of multivariate distributions given some multidimensional marginals ⋮ On the construction of radially symmetric copulas in higher dimensions ⋮ Right-truncated Archimedean and related copulas ⋮ Reparameterizing Marshall–Olkin copulas with applications to sampling ⋮ Hierarchical Archimedean copulas through multivariate compound distributions ⋮ Unnamed Item ⋮ COMPATIBILITY AND ATTAINABILITY OF MATRICES OF CORRELATION-BASED MEASURES OF CONCORDANCE ⋮ Tails of multivariate Archimedean copulas ⋮ On partially Schur-constant models and their associated copulas ⋮ A Compendium of Copulas ⋮ The finite sample properties of sparse M-estimators with pseudo-observations ⋮ Fitting High-Dimensional Copulae to Data ⋮ Comments on: Inference in multivariate Archimedean copula models ⋮ Hierarchical structures in the aggregation of premium risk for insurance underwriting ⋮ Construction and sampling of Archimedean and nested Archimedean Lévy copulas ⋮ Rank-based methods for modeling dependence between loss triangles
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On random variate generation when only moments of Fourier coefficients are known
- A probabilistic interpretation of complete monotonicity
- Algorithms for Generating Discrete Random Variables with a Given Generating Function or a Given Moment Sequence
- What is the Laplace Transform?
This page was built for publication: Sampling nested Archimedean copulas
