Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions

Information Sciences

Volumn 179, Issue 17, 2009, Pages 2872-2877

  Mai, Jan Frederik ^a   Scherer, Matthias ^a  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

Author keywords

Cuadras Aug copula; Poisson process; Sampling algorithm

Indexed keywords

DISTRIBUTED RANDOM VARIABLES; HIGH DIMENSIONS; MULTIVARIATE DISTRIBUTIONS; POISSON PROCESS; RANDOM VECTORS; SAMPLING ALGORITHM; SUBORDINATOR; THEORY AND METHODS;

COMPUTATIONAL EFFICIENCY; LEARNING ALGORITHMS; POISSON EQUATION; RANDOM VARIABLES;

POISSON DISTRIBUTION;

EID: 67549142870     PISSN: 00200255     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ins.2008.09.004     Document Type: Article

References (18)

1. Applebaum D. Lévy Processes and Stochastic Calculus (2004), Cambridge University Press
2. Cont R., and Tankov P. Financial Modelling With Jump Processes. CRC Financial Mathematics Series (2004), Chapman and Hall
3. Cuadras C.M., and Augé J. A continuous general multivariate distribution and its properties. Communications in Statistics - Theory and Methods 10 4 (1981) 339-353
4. H.A. David, H.N. Nagaraja, Order Statistics, Wiley Series in Probability and Statistics, third ed., Hoboken, New Jersey, 2003.
5. Durante F., Quesada-Molina J.J., and Úbeda-Flores M. On a family of multivariate copulas for aggregation processes. Information Sciences 177 (2007) 5715-5724
6. R. Durrett, Probability: Theory and Examples, third ed., Duxbury Advanced Series, 2005.
7. M. Hofert, Sampling Archimedean Copulas. Computational Statistics and Data Analysis, in press. Available at: .
8. M. Hofert, M. Scherer, CDO pricing with nested Archimedean copulas. Working paper, 2008. Available at: .
9. Li D.X. On default correlation: a copula function approach. The Journal of Fixed Income 9 4 (2000) 43-54
10. Marshall A.W., and Olkin I. Families of multivariate distributions. Journal of the American Statistical Association 83 (1988) 834-841
11. McNeil A.J., Frey R., and Embrechts P. Quantitative Risk Management (2005), Princeton University Press
12. 1-norm symmetric distributions, Annals of Statistics, in press. Available at: .
13. McNeil A.J. Sampling nested archimedean copulas. Journal of Statistical Computation and Simulation 78 6 (2008) 567-581
14. Nelsen R.B. An Introduction to Copulas (1999), Springer-Verlag, New York
15. Ocana J., and Ruiz Rivas C. Computer generation and estimation in a one-parameter system of bivariate distributions with specified marginals. Communications in Statistics/Simulation and Computation 19 (1990) 37-55
16. Sato K.-I. Lévy Processes and Infinitely Divisible Distributions (1999), Cambridge University Press
17. P.J. Schönbucher, D. Schubert, Copula-Dependent Risk in Intensity Models. Working paper, 2001. Available at: .
18. Sedgewick R. Algorithms. second ed. (1988), Addison-Wesley Publishing Company