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- Publisher Website: 10.1016/j.csda.2008.05.019
- Scopus: eid_2-s2.0-47749098867
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Article: Sampling Archimedean copulas
| Title | Sampling Archimedean copulas |
|---|---|
| Authors | |
| Issue Date | 2008 |
| Citation | Computational Statistics and Data Analysis, 2008, v. 52, n. 12, p. 5163-5174 How to Cite? |
| Abstract | The challenge of efficiently sampling exchangeable and nested Archimedean copulas is addressed. Specific focus is put on large dimensions, where methods involving generator derivatives are not applicable. Additionally, new conditions under which Archimedean copulas can be mixed to construct nested Archimedean copulas are presented. Moreover, for some Archimedean families, direct sampling algorithms are given. For other families, sampling algorithms based on numerical inversion of Laplace transforms are suggested. For this purpose, the Fixed Talbot, Gaver Stehfest, Gaver Wynn rho, and Laguerre series algorithm are compared in terms of precision and runtime. Examples are given, including both exchangeable and nested Archimedean copulas. © 2008 Elsevier B.V. All rights reserved. |
| Persistent Identifier | http://hdl.handle.net/10722/325169 |
| ISSN | 2023 Impact Factor: 1.5 2023 SCImago Journal Rankings: 1.008 |
| ISI Accession Number ID |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Hofert, Marius | - |
| dc.date.accessioned | 2023-02-27T07:30:17Z | - |
| dc.date.available | 2023-02-27T07:30:17Z | - |
| dc.date.issued | 2008 | - |
| dc.identifier.citation | Computational Statistics and Data Analysis, 2008, v. 52, n. 12, p. 5163-5174 | - |
| dc.identifier.issn | 0167-9473 | - |
| dc.identifier.uri | http://hdl.handle.net/10722/325169 | - |
| dc.description.abstract | The challenge of efficiently sampling exchangeable and nested Archimedean copulas is addressed. Specific focus is put on large dimensions, where methods involving generator derivatives are not applicable. Additionally, new conditions under which Archimedean copulas can be mixed to construct nested Archimedean copulas are presented. Moreover, for some Archimedean families, direct sampling algorithms are given. For other families, sampling algorithms based on numerical inversion of Laplace transforms are suggested. For this purpose, the Fixed Talbot, Gaver Stehfest, Gaver Wynn rho, and Laguerre series algorithm are compared in terms of precision and runtime. Examples are given, including both exchangeable and nested Archimedean copulas. © 2008 Elsevier B.V. All rights reserved. | - |
| dc.language | eng | - |
| dc.relation.ispartof | Computational Statistics and Data Analysis | - |
| dc.title | Sampling Archimedean copulas | - |
| dc.type | Article | - |
| dc.description.nature | link_to_subscribed_fulltext | - |
| dc.identifier.doi | 10.1016/j.csda.2008.05.019 | - |
| dc.identifier.scopus | eid_2-s2.0-47749098867 | - |
| dc.identifier.volume | 52 | - |
| dc.identifier.issue | 12 | - |
| dc.identifier.spage | 5163 | - |
| dc.identifier.epage | 5174 | - |
| dc.identifier.isi | WOS:000259075900010 | - |