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Titel:

Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Mai, J.; Scherer, M.
Nicht-TUM Koautoren:
nein
Kooperation:
-
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
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