Exact Simulation of reciprocal Archimedean copulas
Methodology
2018-06-19 v2
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.
Cite
@article{arxiv.1802.09996,
title = {Exact Simulation of reciprocal Archimedean copulas},
author = {Jan-Frederik Mai},
journal= {arXiv preprint arXiv:1802.09996},
year = {2018}
}