A general approach to generate random variates for multivariate copulae

DOI10.1111/anzs.12209OpenAlexW2793389914MaRDI QIDQ4639821

Nader Tajvidi, Turlach, Berwin A.

Publication date: 11 May 2018

Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/anzs.12209

zbMATH Keywords

copulametropolisextreme value distributionsrandom variate generationHastings algorithm

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Large deviations (60F10)

Related Items (2)

A modeler's guide to extreme value software ⋮ SimCop

Uses Software

• R
• nacopula
• copula
• copula

Cites Work

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