Sampling from Archimedean n-copulas

DOI10.1080/03610926.2018.1520880MaRDI QIDQ5077929zbMATH OpenOpenAlexFDO

Authors Włodzimierz Wysocki

Publication date 20 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2018.1520880

zbMATH Keywords

samplingKendall's tauSpearman's rhoArchimedean copulaassociated copula

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• A probabilistic interpretation of complete monotonicity
• An introduction to copulas.
• Characterizations of Archimedean \(n\)-copulas.
• Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
• Families of Multivariate Distributions
• From Archimedean to Liouville copulas
• Kendall's tau and Spearman's rho for \(n\)-dimensional Archimedean copulas and their asymptotic properties
• Likelihood inference for Archimedean copulas in high dimensions under known margins
• Multiply monotone functions and their Laplace transforms
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Rejoinder on: Inference in multivariate Archimedean copula models
• Sampling from Archimedean copulas
• Sampling nested Archimedean copulas
• Simulating from Exchangeable Archimedean Copulas
• Statistical Inference Procedures for Bivariate Archimedean Copulas

Cited in

(4)

• Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions
• Reparameterizing Marshall–Olkin copulas with applications to sampling
• Sampling a survival and conditional class of Archimedean processes
• Sampling algorithms for generating joint uniform distributions using the Vine-Copula method

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