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Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case

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  • Mai Jan-Frederik

    (XAIA Investment GmbH, Sonnenstr. 19, 80331München, Germany)

Abstract

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 particular instance of a more general probability space studied recently in Ressel, P. (2018): A multivariate version of Williamson’s theorem, ℓ1-symmetric survival functions, and generalized Archimedean copulas. Depend. Model. 6, 356–368. On this probability space the inter-group dependence need not be Archimedean, however, we highlight two particular circumstances that guarantee that a hierarchical Archimedean copula is obtained.

Suggested Citation

  • Mai Jan-Frederik, 2019. "Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case," Dependence Modeling, De Gruyter, vol. 7(1), pages 202-214, January.
    • Handle: RePEc:vrs:demode:v:7:y:2019:i:1:p:202-214:n:10
    DOI: 10.1515/demo-2019-0010
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    References listed on IDEAS

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