Sampling Archimedean copulas

DOI10.1016/j.csda.2008.05.019zbMath1452.62070OpenAlexW2065454670MaRDI QIDQ1023887

Marius Hofert

Publication date: 16 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.05.019

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Numerical methods for integral transforms (65R10)

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Uses Software

• Algorithm 368

Cites Work

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• Sequence transformations and their applications
• A probabilistic interpretation of complete monotonicity
• Comparison of sequence accelerators for the Gaver method of numerical Laplace transform inversion
• Multi-precision Laplace transform inversion
• The Accurate Numerical Inversion of Laplace Transforms
• On the Laguerre Method for Numerically Inverting Laplace Transforms
• Sampling from Archimedean copulas
• Families of Multivariate Distributions
• Simulating from Exchangeable Archimedean Copulas

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