Simulating Copulas

DOI10.1142/10265zbMath1367.65002OpenAlexW4234124334MaRDI QIDQ4976165

Jan-Frederik Mai, Matthias Scherer

Publication date: 27 July 2017

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

Full work available at URL: https://doi.org/10.1142/10265

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Sampling theory, sample surveys (62D05) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Characterization and structure theory of statistical distributions (62E10)

Related Items (25)

The deFinetti representation of generalised Marshall-Olkin sequences ⋮ A new extreme value copula and new families of univariate distributions based on Freund's exponential model ⋮ About the exact simulation of bivariate (reciprocal) Archimax copulas ⋮ Subordinators which are infinitely divisible w.r.t. time: Construction, properties, and simulation of max-stable sequences and infinitely divisible laws ⋮ Estimation of multivariate dependence structures via constrained maximum likelihood ⋮ Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case ⋮ Correlation-oriented complex system structural risk assessment using copula and belief rule base ⋮ Ordinal sums: from triangular norms to bi- and multivariate copulas ⋮ A new class of copulas having dependence range larger than FGM-type copulas ⋮ Implementing Markovian models for extendible Marshall-Olkin distributions ⋮ Exchangeable min-id sequences: characterization, exponent measures and non-decreasing id-processes ⋮ A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence ⋮ Unnamed Item ⋮ The infinite extendibility problem for exchangeable real-valued random vectors ⋮ Multivariate dependent interval finite element analysis via convex hull pair constructions and the extended transformation method ⋮ A probabilistic view on semilinear copulas ⋮ Non-exchangeability of copulas arising from shock models ⋮ Limit distributions of the upper order statistics for the Lévy-frailty Marshall-Olkin distribution ⋮ Exact simulation of reciprocal Archimedean copulas ⋮ Why are FGM copulas successful? A simple explanation ⋮ Stochastic decomposition for \(\ell_p\)-norm symmetric survival functions on the positive orthant ⋮ Multivariate matrix Mittag-Leffler distributions ⋮ Distortion representations of multivariate distributions ⋮ Exogenous shock models: analytical characterization and probabilistic construction ⋮ Exact simulation of continuous max-id processes with applications to exchangeable max-id sequences

This page was built for publication: Simulating Copulas