Exact simulation of reciprocal Archimedean copulas

Jan-Frederik Mai

Statistics & Probability Letters, 2018, vol. 141, issue C, 68-73

Abstract: The decreasing enumeration of the points of a Poisson random measure whose mean measure is Radon on (0,∞] can be represented as a non-increasing function of the jump times of a standard Poisson process. This observation allows to generalize the essential idea from a well-known exact simulation algorithm for arbitrary extreme-value copulas to copulas of more general max-infinitely divisible distributions, with reciprocal Archimedean copulas being a particular example.

Keywords: Reciprocal Archimedean copula; Poisson random measure; Simulation; Max-infinitely divisible (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715218302074
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:141:y:2018:i:c:p:68-73

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2018.05.020

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().