Efficiently sampling nested Archimedean copulas
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Date
2011-01Type
- Journal Article
ETH Bibliography
yes
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Publication status
publishedExternal links
Journal / series
Computational Statistics & Data AnalysisVolume
Pages / Article No.
Publisher
ElsevierSubject
Archimedean copulas; Nested Archimedean copulas; Laplace-Stieltjes transforms; Sampling algorithms; Exponentially tilted stable distributionsOrganisational unit
03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
Notes
Received 16 August 2009, Revised 27 April 2010, Accepted 27 April 2010, Available online 6 May 2010.More
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ETH Bibliography
yes
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