Exact simulation of reciprocal Archimedean copulas

Publication date: October 2018Source: Statistics & Probability Letters, Volume 141Author(s): Jan-Frederik MaiAbstractThe decreasing enumeration of the points of a Poisson random measure whose mean measure is Radon on (0,∞] can be represented as a non-increasing function of the jump times of a standard Poisson process. This observation allows to generalize the essential idea from a well-known exact simulation algorithm for arbitrary extreme-value copulas to copulas of more general max-infinitely divisible distributions, with reciprocal Archimedean copulas being a particular example.

Source: Statistics and Probability Letters - July 10, 2018 Category: Statistics Source Type: research