Exact simulation of reciprocal Archimedean copulas

DOI10.1016/j.spl.2018.05.020zbMath1402.62094arXiv1802.09996OpenAlexW2788510515WikidataQ129736466 ScholiaQ129736466MaRDI QIDQ722659

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)

Related Items (2)

Stochastic decomposition for \(\ell_p\)-norm symmetric survival functions on the positive orthant ⋮ Exact simulation of continuous max-id processes with applications to exchangeable max-id sequences

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• 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
• On simulation from infinitely divisible distributions
• Order Statistics of Samples from Multivariate Distributions
• Simulating Copulas
• Exact simulation of max-stable processes

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