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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Mai, J.; Scherer, M. 
Nicht-TUM Koautoren:
nein 
Kooperation:
Titel:
Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions 
Abstract:
We construct an n-dimensional random vector whose survival copula is given by a copula function that was first presented in Cuadras, Auge (1981). Our construction adds a Poisson subordinator as mixing variable to initially independent exponentially distributed random variables. We show how the parameters of the Poisson process relate to the parameter of the induced Cuadras-Auge copula. Based on this construction, we present a sampling algorithm for this multivariate distribution which has averag...    »
 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
Information Sciences 
Jahr:
2009 
Band / Volume:
179 
Heft / Issue:
17 
Seitenangaben Beitrag:
2872-2877 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein