Exact simulation of reciprocal Archimedean copulas

DOI10.1016/J.SPL.2018.05.020MaRDI QIDQ722659zbMATH OpenOpenAlexWikidataFDO

Authors Jan-Frederik Mai

Publication date 27 July 2018

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1802.09996

zbMATH Keywords

simulationPoisson random measuremax-infinitely divisiblereciprocal Archimedean copula

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Random measures (60G57)

Abstract: The decreasing enumeration of the points of a Poisson random measure whose mean measure has finite survival function on the positive half-axis can be represented as a non-increasing function of the jump times of a standard Poisson process. This observation allows to generalize the essential idea from a well-known exact simulation algorithm for arbitrary extreme-value copulas to copulas of a more general family of max-infinitely divisible distributions, with reciprocal Archimedean copulas being a particular example.

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Cited in

(4)

• Exact simulation of continuous max-id processes with applications to exchangeable max-id sequences
• About the exact simulation of bivariate (reciprocal) Archimax copulas
• Stochastic decomposition for \(\ell_p\)-norm symmetric survival functions on the positive orthant
• Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case

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