Sampling from Archimedean n-copulas

DOI10.1080/03610926.2018.1520880OpenAlexW2907148073MaRDI QIDQ5077929FDOQ5077929

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

• Likelihood inference for Archimedean copulas in high dimensions under known margins
• Title not available (Why is that?)
• Title not available (Why is that?)
• An introduction to copulas.
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Sampling nested Archimedean copulas
• Sampling from Archimedean copulas
• Multiply monotone functions and their Laplace transforms
• From Archimedean to Liouville copulas
• A probabilistic interpretation of complete monotonicity
• Families of Multivariate Distributions
• Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
• Simulating from Exchangeable Archimedean Copulas
• Characterizations of Archimedean \(n\)-copulas.
• Rejoinder on: Inference in multivariate Archimedean copula models
• Kendall's tau and Spearman's rho for \(n\)-dimensional Archimedean copulas and their asymptotic properties

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

This page was built for publication: Sampling from Archimedean n-copulas

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5077929)