Exact simulation of reciprocal Archimedean copulas

DOI10.1016/J.SPL.2018.05.020zbMATH Open1402.62094arXiv1802.09996OpenAlexW2788510515WikidataQ129736466 ScholiaQ129736466MaRDI QIDQ722659FDOQ722659

Authors: Jan-Frederik Mai 

Publication date: 27 July 2018

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

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.

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

Recommendations

• About the exact simulation of bivariate (reciprocal) Archimax copulas
• Sampling nested Archimedean copulas
• Simulating from Exchangeable Archimedean Copulas
• Sampling from Archimedean copulas
• Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case

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)

Cites Work

• An introduction to copulas.
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Models for stationary max-stable random fields
• Title not available (Why is that?)
• Title not available (Why is that?)
• Exact simulation of max-stable processes
• Order Statistics of Samples from Multivariate Distributions
• On simulation from infinitely divisible distributions
• The class of multivariate max-id copulas with \(\ell_{1}\)-norm symmetric exponent measure
• A note on the Galambos copula and its associated Berstein function
• Exact and fast simulation of max-stable processes on a compact set using the normalized spectral representation
• Simulating Copulas

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

This page was built for publication: Exact simulation of reciprocal Archimedean copulas

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q722659)