A stochastic representation and sampling algorithm for nested Archimedean copulas

DOI10.1080/00949655.2011.574632zbMath1271.60026OpenAlexW2004328718MaRDI QIDQ5300812

Marius Hofert

Publication date: 28 June 2013

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2011.574632

zbMATH Keywords

stochastic representationLaplace-Stieltjes transformsArchimedean copulassampling algorithmsnested Archimedean copulas

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Probability distributions: general theory (60E05) Laplace transform (44A10) Random number generation in numerical analysis (65C10) General theory of simulation (00A72)

Related Items (20)

Uncertainty quantification for the family-wise error rate in multivariate copula models ⋮ Multinomial choice models based on Archimedean copulas ⋮ Nonparametric estimation of the tree structure of a nested Archimedean copula ⋮ Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation ⋮ Quasi-Random Sampling for Multivariate Distributions via Generative Neural Networks ⋮ Hierarchical Archimax copulas ⋮ Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case ⋮ Densities of nested Archimedean copulas ⋮ Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions ⋮ A nested copula duration model for competing risks with multiple spells ⋮ On the construction of nested Archimedean copulas for \(d\)-monotone generators ⋮ 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 ⋮ Likelihood inference for Archimedean copulas in high dimensions under known margins ⋮ On the structure and estimation of hierarchical Archimedean copulas ⋮ A framework for measuring association of random vectors via collapsed random variables ⋮ Hierarchical Archimedean copulas through multivariate compound distributions ⋮ COMPATIBILITY AND ATTAINABILITY OF MATRICES OF CORRELATION-BASED MEASURES OF CONCORDANCE ⋮ Pairwise and Global Dependence in Trivariate Copula Models ⋮ Construction and sampling of Archimedean and nested Archimedean Lévy copulas

Cites Work

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• Generalized hypergeometric, digamma and trigamma distributions
• A probabilistic interpretation of complete monotonicity
• Scaled Sibuya distribution and discrete self-decomposability
• Multivariate distributions from mixtures of max-infinitely divisible distributions
• Modelling heavy-tailed count data using a generalised Poisson-inverse Gaussian family
• Goodness-of-fit tests for parametric families of Archimedean copulas
• Sampling nested Archimedean copulas
• Efficient Generation of Logarithmically Distributed Pseudo-Random Variables
• Random variate generation for exponentially and polynomially tilted stable distributions
• Sampling Exponentially Tilted Stable Distributions

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