Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions

DOI10.1016/j.ins.2008.09.004zbMath1171.62036OpenAlexW1967067650MaRDI QIDQ730891

Matthias Scherer, Jan-Frederik Mai

Publication date: 1 October 2009

Published in: Information Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ins.2008.09.004

zbMATH Keywords

Poisson processsampling algorithmCuadras-Augé copula

Mathematics Subject Classification ID

Related Items (6)

The deFinetti representation of generalised Marshall-Olkin sequences ⋮ Supermigrative semi-copulas and triangular norms ⋮ Sampling Exchangeable and Hierarchical Marshall-Olkin Distributions ⋮ Reparameterizing Marshall–Olkin copulas with applications to sampling ⋮ Lévy-frailty copulas ⋮ Contributions to the diagonal expansion of a bivariate copula with continuous extensions

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• Families of Multivariate Distributions
• Financial Modelling with Jump Processes
• Lévy Processes and Stochastic Calculus

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