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Exact simulation of reciprocal Archimedean copulas

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  • Mai, Jan-Frederik

Abstract

The 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.

Suggested Citation

  • Mai, Jan-Frederik, 2018. "Exact simulation of reciprocal Archimedean copulas," Statistics & Probability Letters, Elsevier, vol. 141(C), pages 68-73.
    • Handle: RePEc:eee:stapro:v:141:y:2018:i:c:p:68-73
    DOI: 10.1016/j.spl.2018.05.020
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    References listed on IDEAS

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    1. Clément Dombry & Sebastian Engelke & Marco Oesting, 2016. "Exact simulation of max-stable processes," Biometrika, Biometrika Trust, vol. 103(2), pages 303-317.
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    Cited by:

    1. Brück, Florian, 2023. "Exact simulation of continuous max-id processes with applications to exchangeable max-id sequences," Journal of Multivariate Analysis, Elsevier, vol. 193(C).
    2. Mai, Jan-Frederik & Wang, Ruodu, 2021. "Stochastic decomposition for ℓp-norm symmetric survival functions on the positive orthant," Journal of Multivariate Analysis, Elsevier, vol. 184(C).

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