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Tools for Sampling Multivariate Archimedean Copulas
Company: Universidad Nacional del Litoral
Year Of Publication: 2006
Month Of Publication: March
Pages: 8
Download Count: 708
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 3-26-2006
Publisher: Administrator
Summary
A hurdle for practical implementation of any multivariate Archimedean copula was the absence of an efficient methodfor generating them. The most frequently used approach named conditional distribution one, involves differentiationstep for each dimension of the problem. For this reason, it is not feasible in higher dimension. Marshall and Olkinproposed an alternative method, which is computationally more straightforward than the conditional distributionapproach. We present the tools necessary for understand it and use it. We introduce the Laplace Transform and its rolein the generation of multivariate Archimedean copulas. In order to cover the gap between the theory and its practicalimplementation VBA code and R one are provided.
Author(s)
Melchiori, Mario R. Sign in to follow this author
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