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Article: A stochastic representation and sampling algorithm for nested Archimedean copulas

TitleA stochastic representation and sampling algorithm for nested Archimedean copulas
Authors
Hofert, Marius
KeywordsArchimedean copulas
Laplace-Stieltjes transforms
nested Archimedean copulas
sampling algorithms
stochastic representation
Issue Date2012
Citation
Journal of Statistical Computation and Simulation, 2012, v. 82, n. 9, p. 1239-1255 How to Cite?
DOI: http://dx.doi.org/10.1080/00949655.2011.574632
AbstractA general sampling algorithm for nested Archimedean copulas was recently suggested. It is given in two different forms, a recursive or an explicit one. The explicit form allows for a simpler version of the algorithm which is numerically more stable and faster since less function evaluations are required. The algorithm can also be given in general form, not being restricted to a particular nesting such as fully nested Archimedean copulas. Further, several examples are given. © 2012 Copyright Taylor and Francis Group, LLC.
Persistent Identifierhttp://hdl.handle.net/10722/325233
ISSN
0094-9655
2023 Impact Factor: 1.1
2023 SCImago Journal Rankings: 0.510
ISI Accession Number ID
WOS:000307948700001

 

DC FieldValueLanguage
dc.contributor.authorHofert, Marius-
dc.date.accessioned2023-02-27T07:30:50Z-
dc.date.available2023-02-27T07:30:50Z-
dc.date.issued2012-
dc.identifier.citationJournal of Statistical Computation and Simulation, 2012, v. 82, n. 9, p. 1239-1255-
dc.identifier.issn0094-9655-
dc.identifier.urihttp://hdl.handle.net/10722/325233-
dc.description.abstractA general sampling algorithm for nested Archimedean copulas was recently suggested. It is given in two different forms, a recursive or an explicit one. The explicit form allows for a simpler version of the algorithm which is numerically more stable and faster since less function evaluations are required. The algorithm can also be given in general form, not being restricted to a particular nesting such as fully nested Archimedean copulas. Further, several examples are given. © 2012 Copyright Taylor and Francis Group, LLC.-
dc.languageeng-
dc.relation.ispartofJournal of Statistical Computation and Simulation-
dc.subjectArchimedean copulas-
dc.subjectLaplace-Stieltjes transforms-
dc.subjectnested Archimedean copulas-
dc.subjectsampling algorithms-
dc.subjectstochastic representation-
dc.titleA stochastic representation and sampling algorithm for nested Archimedean copulas-
dc.typeArticle-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1080/00949655.2011.574632-
dc.identifier.scopuseid_2-s2.0-84862015015-
dc.identifier.volume82-
dc.identifier.issue9-
dc.identifier.spage1239-
dc.identifier.epage1255-
dc.identifier.eissn1563-5163-
dc.identifier.isiWOS:000307948700001-

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