A new method to construct high-dimensional copulas with Bernoulli and Coxian-2 distributions

DOI10.1016/j.jmva.2023.105261arXiv2209.13675OpenAlexW4389163125MaRDI QIDQ6200934

Hélène Cossette, Étienne Marceau, Christopher Blier-Wong, Sebastien Legros

Publication date: 25 March 2024

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2209.13675

zbMATH Keywords

stochastic representationgeneralized Farlie-Gumbel-Morgenstern copulashigh-dimensional simulationmeasures of multivariate associationhigh-dimensional copulas

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Probability distributions: general theory (60E05) Random number generation in numerical analysis (65C10) Multivariate analysis (62Hxx)

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