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Author(s):
Brechmann, E.C. 
Title:
Sampling from hierarchical Kendall copulas 
Abstract:
As copulas are frequently used to model dependence in statistical models, it is of central importance to be able to accurately and efficiently sample from them. In the case of hierarchical Kendall copulas, a top-down sampling strategy involves simulation of a random vector given that it lies in a particular level set. While explicit solutions are available when hierarchical Kendall copulas are built from Archimedean copulas, this paper presents new results for the Plackett copula and for Archi...    »
 
Keywords:
sampling copulas, hierarchical copulas, Kendall distribution function, copula level set, sample reordering 
Journal title:
Journal de la Société Française de Statistique 
Year:
2013 
Journal volume:
154 
Journal issue:
Pages contribution:
192-209 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Mathematische Statistik