Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case
Two 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 particul...
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| Format: | Article |
| Language: | English |
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De Gruyter
2019-06-01
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| Series: | Dependence Modeling |
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| Online Access: | https://doi.org/10.1515/demo-2019-0010 |