Sampling from Archimedean copulas

DOI10.1088/1469-7688/4/3/009zbMath1409.62108OpenAlexW2042087639MaRDI QIDQ4610241

Niall D. Whelan

Publication date: 15 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/41808c2f5210133b50cfd99457a61eb4ec4c6c2e

zbMATH Keywords

sampling algorithmsmultivariate Archimedean copulas

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Sampling theory, sample surveys (62D05)

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• An introduction to copulas. Properties and applications
• On Kendall's process
• Computer methods for sampling from gamma, beta, Poisson and binomial distributions
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Families of Multivariate Distributions

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