Efficiently sampling nested Archimedean copulas
From MaRDI portal
Publication:452526
DOI10.1016/j.csda.2010.04.025zbMath1247.62132MaRDI QIDQ452526
Publication date: 15 September 2012
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2010.04.025
Laplace; Stieltjes transforms; Archimedean copulas; exponentially tilted stable distributions; sampling algorithms
62H05: Characterization and structure theory for multivariate probability distributions; copulas
Related Items
COMPATIBILITY AND ATTAINABILITY OF MATRICES OF CORRELATION-BASED MEASURES OF CONCORDANCE, Matching a correlation coefficient by a Gaussian copula, On structure, family and parameter estimation of hierarchical Archimedean copulas, A stochastic representation and sampling algorithm for nested Archimedean copulas, Hierarchical Kendall copulas: Properties and inference, On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators, Discussion of ``On simulation and properties of the stable law by L. Devroye and L. James, Comments on: Inference in multivariate Archimedean copula models, Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions, Penalized estimation of hierarchical Archimedean copula, Selecting and estimating regular vine copulae and application to financial returns, Hierarchical Archimedean copulas through multivariate compound distributions, Densities of nested Archimedean copulas, On the stick-breaking representation of \(\sigma\)-stable Poisson-Kingman models, Posterior analysis of rare variants in Gibbs-type species sampling models, Dependence modeling in non-life insurance using the Bernstein copula, Likelihood inference for Archimedean copulas in high dimensions under known margins, Random variate generation for Laguerre-type exponentially tilted \(\alpha\)-stable distributions, Estimation of copula-based models for lifetime medical costs, On the structure and estimation of hierarchical Archimedean copulas, Modeling defaults with nested Archimedean copulas, Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs, Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation, Kendall's tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas, Multinomial choice models based on Archimedean copulas, Nonparametric estimation of the tree structure of a nested Archimedean copula, On the estimation of nested Archimedean copulas: a theoretical and an experimental comparison, Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family, Hierarchical Archimax copulas, Estimation of hierarchical Archimedean copulas as a shortest path problem, A directory of families of infinitely extendible Archimedean copulas, Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications, On tail dependence coefficients of transformed multivariate Archimedean copulas, The tempered discrete Linnik distribution, Approximating predictive probabilities of Gibbs-type priors, Principal component analysis: a generalized Gini approach, Right-truncated Archimedean and related copulas, Modelling mortality dependence: an application of dynamic vine copula, A copula transformation in multivariate mixed discrete-continuous models, A new multivariate quadrature rule for calculating statistical moments of stochastic response, Hierarchical time series clustering on tail dependence with linkage based on a multivariate copula approach, On partially Schur-constant models and their associated copulas, Estimation of the association parameters in hierarchically clustered survival data by nested Archimedean copula functions, Importance conditional sampling for Pitman-Yor mixtures, Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case, A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks, Investigating the correlation structure of quadrivariate udder infection times through hierarchical Archimedean copulas, A hierarchical copula-based world-wide valuation of sovereign risk, Construction and sampling of Archimedean and nested Archimedean Lévy copulas, Rank-based methods for modeling dependence between loss triangles, Multivariate Archimax copulas, Copula based hierarchical risk aggregation through sample reordering, Rediscovery of Good-Turing estimators via Bayesian nonparametrics, Bayesian Model Averaging Over Tree-based Dependence Structures for Multivariate Extremes
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Tempering stable processes
- Sampling Archimedean copulas
- Multivariate distributions from mixtures of max-infinitely divisible distributions
- CDO pricing with nested Archimedean copulas
- Sampling nested Archimedean copulas
- Survival models for heterogeneous populations derived from stable distributions
- Efficient Generation of Logarithmically Distributed Pseudo-Random Variables
- Families of Multivariate Distributions
- Generalized Gamma measures and shot-noise Cox processes