A stochastic representation and sampling algorithm for nested Archimedean copulas

Journal of Statistical Computation and Simulation

Volumn 82, Issue 9, 2012, Pages 1239-1255

  Hofert, Marius ^a  

^a ETH ZURICH   (Switzerland)

Author keywords

Archimedean copulas; Laplace Stieltjes transforms; nested Archimedean copulas; sampling algorithms; stochastic representation

Indexed keywords

EID: 84862015015     PISSN: 00949655     EISSN: 15635163     Source Type: Journal    
DOI: 10.1080/00949655.2011.574632     Document Type: Article

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