Results 171 to 180 of about 4,366 (211)

Frankʼs condition for multivariate Archimedean copulas

Fuzzy Sets and Systems, 2014
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Erdely, Arturo, González-Barrios, José M., Hernández-Cedillo, María M.   +2 more
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Sampling Archimedean copulas

Computational Statistics & Data Analysis, 2008
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Estimating Archimedean Copulas in High Dimensions

Scandinavian Journal of Statistics, 2012
Abstract.  This article presents a novel estimation procedure for high‐dimensional Archimedean copulas. In contrast to maximum likelihood estimation, the method presented here does not require derivatives of the Archimedean generator. This is computationally advantageous for high‐dimensional Archimedean copulas in which higher‐order derivatives are ...
Hering, Christian, Stadtmüller, Ulrich
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Sampling from Archimedean copulas

Quantitative Finance, 2004
We develop sampling algorithms for multivariate Archimedean copulas. For exchangeable copulas, where there is only one generating function, we first analyse the distribution of the copula itself, deriving a number of integral representations and a generating function representation.
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Simulating from Exchangeable Archimedean Copulas

Communications in Statistics - Simulation and Computation, 2007
Multivariate exchangeable Archimedean copulas are one of the most popular classes of copulas that are used in actuarial science and finance for modeling risk dependencies and for using them to quantify the magnitude of tail dependence. Owing to the increase in popularity of copulas to measure dependent risks, generating from multivariate copulas has ...
Florence Wu, Emiliano Valdez, Michael Sherris   +2 more
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Sampling nested Archimedean copulas

Journal of Statistical Computation and Simulation, 2008
We give algorithms for sampling from non-exchangeable Archimedean copulas created by the nesting of Archimedean copula generators, where in the most general algorithm the generators may be nested to an arbitrary depth. These algorithms are based on mixture representations of these copulas using Laplace transforms.
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Multivariate Archimedean Quasi-Copulas

2002
Abstract In this paper we define and study basic properties of multivariate Archimedean quasi-copulas. In particular, we examine properties concerning generators, diagonal sections, permutation symmetry, level sets and order.
Roger B. Nelsen, José Juan Quesada-Molina, José Antonio Rodríguez-Lallena, Manuel Úbeda-Flores   +3 more
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Diagonal copulas of archimedean class

Communications in Statistics - Theory and Methods, 1996
In this paper the concept of diagonal copulas is introduced and its properties are examined. It is shown that for the Archimedean class, the diagonal copula uniquely determines the corresponding copula. This fact helps to reduce the dimension and makes it easier to understand the underlying dependence structure without losing any information. Therefore
Engin A. Sungur, Yimin Yang
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Constructing archimedean copulas from diagonal sections

Statistics & Probability Letters, 2012
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Efficiently sampling nested Archimedean copulas

Computational Statistics & Data Analysis, 2011
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