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arXiv · 1802.09996

Exact Simulation of reciprocal Archimedean copulas

Jan-Frederik Mai
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Abstract

The decreasing enumeration of the points of a Poisson random measure whose mean measure has finite survival function on the positive half-axis 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 a more general family of max-infinitely divisible distributions, with reciprocal Archimedean copulas being a particular example.

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Jan-Frederik Mai. 2018-05-16. Exact Simulation of reciprocal Archimedean copulas. https://doi.org/10.1016/j.spl.2018.05.020

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