Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case

DOI10.1515/demo-2019-0010zbMath1448.62065OpenAlexW2955461881MaRDI QIDQ2178938

Jan-Frederik Mai

Publication date: 12 May 2020

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2019-0010

zbMATH Keywords

copulasimulationhierarchical Archimedean copula\(d\)-monotone

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05) Monotonic functions, generalizations (26A48)

Related Items (2)

Penalized estimation of hierarchical Archimedean copula ⋮ The infinite extendibility problem for exchangeable real-valued random vectors

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