Sampling nested Archimedean copulas

Alexander J. McNeil

Research output: Contribution to journalArticle

122 Citations (Scopus)

Abstract

We give algorithms for sampling from non-exchangeable Archimedean copulas created by the nesting of Archimedean copula generators, where in the most general algorithm the generators may be nested to an arbitrary depth. These algorithms are based on mixture representations of these copulas using Laplace transforms. While in principle the approach applies to all nested Archimedean copulas, in practice the approach is restricted to certain cases where we are able to sample distributions with given Laplace transforms. Precise instructions are given for the case when all generators are taken from the Gumbel parametric family or the Clayton family; the Gumbel case in particular proves very easy to simulate. © 2008 Taylor & Francis.

Original languageEnglish
Pages (from-to)567-581
Number of pages15
JournalJournal of Statistical Computation and Simulation
Volume78
Issue number6
DOIs
Publication statusPublished - 2008

Keywords

  • Archimedean copulas
  • Laplace transforms
  • Stochastic simulation

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