Sampling from Archimedean n-copulas

被引：0

作者：

Wysocki, Wlodzimierz ^{[1
]}

机构：

[1] Polish Acad Sci, Inst Comp Sci, Jana Kazimierza 5, PL-01248 Warsaw, Poland

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2019年 / 48卷 / 23期

关键词：

Archimedean copula; associated copula; sampling; Kendall's tau; Spearman's rho; MONOTONE-FUNCTIONS; INFERENCE; FAMILIES;

D O I：

10.1080/03610926.2018.1520880

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We suggest a method of sampling from Archimedean n-copulas, close to that given by McNeil and Ne?lehov?. We start from two random vectors, some subvectors of which are uniformly distributed on an -dimensional simplex and a pyramid respectively. We also introduce a family of copulas that we call associated n-copulas, depending on the additive generators of Archimedean n-copulas. For such copulas we give formulas for two popular nonparametric dependence measures: Kendall?s tau and Spearman's rho.

引用

页码：5682 / 5700

页数：19

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