Exact simulation of reciprocal Archimedean copulas
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DOI: 10.1016/j.spl.2018.05.020
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- 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:
- 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).
- 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).
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Keywords
Reciprocal Archimedean copula; Poisson random measure; Simulation; Max-infinitely divisible;All these keywords.
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