Sampling from Archimedean n-copulas

DOI10.1080/03610926.2018.1520880OpenAlexW2907148073MaRDI QIDQ5077929

Włodzimierz Wysocki

Publication date: 20 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1520880

zbMATH Keywords

samplingKendall's tauArchimedean copulaSpearman's rhoassociated copula

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Likelihood inference for Archimedean copulas in high dimensions under known margins
• Multiply monotone functions and their Laplace transforms
• An introduction to copulas.
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• From Archimedean to Liouville copulas
• A probabilistic interpretation of complete monotonicity
• Rejoinder on: Inference in multivariate Archimedean copula models
• Characterizations of Archimedean n-copulas
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Kendall's tau and Spearman's rho forn-dimensional Archimedean copulas and their asymptotic properties
• Sampling nested Archimedean copulas
• Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
• Sampling from Archimedean copulas
• Families of Multivariate Distributions
• Simulating from Exchangeable Archimedean Copulas

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