Sampling from Archimedean n-copulas

Włodzimierz Wysocki

Communications in Statistics - Theory and Methods, 2019, vol. 48, issue 23, 5682-5700

Abstract: We suggest a method of sampling from Archimedean n-copulas, close to that given by McNeil and Nešlehová. We start from two random vectors, some subvectors of which are uniformly distributed on an (n−1)-dimensional simplex and a pyramid respectively. We also introduce a family of copulas that we call associated n-copulas, depending on the additive generators of Archimedean n-copulas. For such copulas we give formulas for two popular nonparametric dependence measures: Kendall’s tau and Spearman’s rho.

Date: 2019
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DOI: 10.1080/03610926.2018.1520880

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