Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions

DOI10.1016/J.INS.2008.09.004MaRDI QIDQ730891zbMATHOpenAlexFDO

Authors Jan-Frederik Mai, Matthias Scherer

Publication date 1 October 2009

Published in Information Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ins.2008.09.004

zbMATH Keywords

Poisson processsampling algorithmCuadras-Augé copula

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 5819433 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• A continuous general multivariate distribution and its properties
• An introduction to copulas. Properties and applications
• CDO pricing with nested Archimedean copulas
• Computer Generation and Estimation in a One-Parameter System Of Bivariate Distributions with Specified Marginals
• Families of Multivariate Distributions
• Financial Modelling with Jump Processes
• Lévy Processes and Stochastic Calculus
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• On a family of multivariate copulas for aggregation processes
• Order Statistics
• Sampling nested Archimedean copulas

Cited in

(6)

• Supermigrative semi-copulas and triangular norms
• The deFinetti representation of generalised Marshall-Olkin sequences
• Reparameterizing Marshall–Olkin copulas with applications to sampling
• Lévy-frailty copulas
• Sampling exchangeable and hierarchical Marshall-Olkin distributions
• Contributions to the diagonal expansion of a bivariate copula with continuous extensions

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