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Titel:

Sampling from hierarchical Kendall copulas

Autor(en):
Brechmann, E.C.
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 Archim...     »
Stichworte:
sampling copulas, hierarchical copulas, Kendall distribution function, copula level set, sample reordering
Zeitschriftentitel:
Journal de la Société Française de Statistique
Jahr:
2013
Band / Volume:
154
Heft / Issue:
1
Seitenangaben Beitrag:
192-209
Reviewed:
ja
Sprache:
en
Status:
Verlagsversion / published
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
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