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Document type:
Zeitschriftenaufsatz 
Author(s):
Mai, J.; Scherer, M. 
Non-TUM Co-author(s):
nein 
Cooperation:
Title:
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 
Journal title:
Information Sciences 
Year:
2009 
Journal volume:
179 
Journal issue:
17 
Pages contribution:
2872-2877 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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