超越完全单调情况的分层阿基米德联结的仿真算法

IF 0.6 Q4 STATISTICS & PROBABILITY

Dependence Modeling Pub Date : 2019-01-01 DOI:10.1515/demo-2019-0010

Jan-Frederik Mai

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引用次数: 1

摘要

摘要针对群内生成器不一定完全单调的情况，给出了两种分层阿基米德copula的仿真算法。对于完全单调情况，两者都推广了现有的算法。这两种算法的潜在随机模型都是最近在Ressel, P.(2018)中研究的更一般概率空间的特定实例:Williamson定理的多变量版本，1-对称生存函数和广义阿基米德copulas。依赖。型号6,356 - 368。在这个概率空间上，群间依赖不一定是阿基米德的，然而，我们强调了两个特殊的情况，保证得到一个分层阿基米德联结。

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Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case

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.

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来源期刊

Dependence Modeling STATISTICS & PROBABILITY-

CiteScore

1.00

自引率

0.00%

发文量

审稿时长

12 weeks

期刊介绍： The journal Dependence Modeling aims at providing a medium for exchanging results and ideas in the area of multivariate dependence modeling. It is an open access fully peer-reviewed journal providing the readers with free, instant, and permanent access to all content worldwide. Dependence Modeling is listed by Web of Science (Emerging Sources Citation Index), Scopus, MathSciNet and Zentralblatt Math. The journal presents different types of articles: -"Research Articles" on fundamental theoretical aspects, as well as on significant applications in science, engineering, economics, finance, insurance and other fields. -"Review Articles" which present the existing literature on the specific topic from new perspectives. -"Interview articles" limited to two papers per year, covering interviews with milestone personalities in the field of Dependence Modeling. The journal topics include (but are not limited to):　 -Copula methods -Multivariate distributions -Estimation and goodness-of-fit tests -Measures of association -Quantitative risk management -Risk measures and stochastic orders -Time series -Environmental sciences -Computational methods and software -Extreme-value theory -Limit laws -Mass Transportations