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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.
McNeil, Alexander J.
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Modeling defaults with nested Archimedean copulas

Blätter der DGVFM, 2010
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Marius Hofert, Hofert, Marius
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Trivariate probabilistic assessments of the compound flooding events using Semiparametric Fully Nested Archimedean (FNA) copula approach

2022
Flooding in coastal areas can result from the joint occurrence of multiple individual flood variables, resulting in compound flooding (CF) events. Individual variables may not be extreme but can result in a severe coastal impact if they occur in close succession or simultaneous.
Shahid Latif, Slobodan Simonovic
openaire   +1 more source

A stochastic representation and sampling algorithm for nested Archimedean copulas

Journal of Statistical Computation and Simulation, 2012
A 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,
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Construction and Sampling of Nested Archimedean Copulas

2010
Nested Archimedean copulas are explicit copulas which generalize Archimedean copulas to allow for asymmetries. Starting with completely monotone Archimedean generators, it is usually not clear when the corresponding Archimedean copulas can be nested to build indeed a proper copula.
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On the construction of nested Archimedean copulas for d-monotone generators

Statistics & Probability Letters, 2015
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Study on drought events in China based on time-varying nested Archimedean-copula function

Water Science and Technology: Water Supply, 2022
Cheng Wang, Hongrui Wang
exaly  

Trivariate Probabilistic Assessments of the Compound Flooding Events Using the 3-D Fully Nested Archimedean (FNA) Copula in the Semiparametric Distribution Setting

Water Resources Management, 2023
Slobodan Simonovic, Md Shahid Latif
exaly  

Estimation of distribution algorithm based on nested Archimedean copulas constructed with Lévy subordinators

2010 IEEE 11th International Conference on Computer-Aided Industrial Design & Conceptual Design 1, 2010
null Baolin, null Huimin, null Xiaoping, null Jianchao   +3 more
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A new computational model based on Archimedean copula for probabilistic unbalanced linguistic term set and its application to multiple attribute group decision making

Computers and Industrial Engineering, 2020
Jinpei Liu, Huayou Chen, Ligang Zhou
exaly