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Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case

Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case AbstractTwo simulation algorithms for hierarchical Archimedean copulas in the case when intra-group generators are not necessarily completely monotone are presented. Both generalize existing algorithms for the completely monotone case. The underlying stochastic models for both algorithms arise as a particular instance of a more general probability space studied recently in Ressel, P. (2018): A multivariate version of Williamson’s theorem, ℓ1-symmetric survival functions, and generalized Archimedean copulas. Depend. Model. 6, 356–368. On this probability space the inter-group dependence need not be Archimedean, however, we highlight two particular circumstances that guarantee that a hierarchical Archimedean copula is obtained. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Dependence Modeling de Gruyter

Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case

Dependence Modeling , Volume 7 (1): 13 – Jan 1, 2019

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Publisher
de Gruyter
Copyright
© 2019 Jan-Frederik Mai, published by De Gruyter
ISSN
2300-2298
eISSN
2300-2298
DOI
10.1515/demo-2019-0010
Publisher site
See Article on Publisher Site

Abstract

AbstractTwo simulation algorithms for hierarchical Archimedean copulas in the case when intra-group generators are not necessarily completely monotone are presented. Both generalize existing algorithms for the completely monotone case. The underlying stochastic models for both algorithms arise as a particular instance of a more general probability space studied recently in Ressel, P. (2018): A multivariate version of Williamson’s theorem, ℓ1-symmetric survival functions, and generalized Archimedean copulas. Depend. Model. 6, 356–368. On this probability space the inter-group dependence need not be Archimedean, however, we highlight two particular circumstances that guarantee that a hierarchical Archimedean copula is obtained.

Journal

Dependence Modelingde Gruyter

Published: Jan 1, 2019

References