Efficiently sampling nested Archimedean copulas

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

zbMATH Keywords

Laplace; Stieltjes transforms; Archimedean copulas; exponentially tilted stable distributions; sampling algorithms

Mathematics Subject Classification ID

62H05: Characterization and structure theory for multivariate probability distributions; copulas

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