Tools for Sampling Multivariate Archimedean Copulas

YieldCurve, April 2006

8 Pages Posted: 25 Apr 2008 Last revised: 15 Jun 2016

Abstract

A hurdle for practical implementation of any multivariate Archimedean copula was the absence of an efficient method for generating them. The most frequently used approach named conditional distribution one, involves differentiation step for each dimension of the problem. For this reason, it is not feasible in higher dimension. Marshall and Olkin proposed an alternative method, which is computationally more straightforward than the conditional distribution approach. We present the tools necessary for understand it and use it. We introduce the Laplace Transform and its role in the generation of multivariate Archimedean copulas. In order to cover the gap between the theory and its practical implementation VBA code and R one are provided.

Keywords: Copulas, Correlation, Dependence

JEL Classification: C00

Suggested Citation

Melchiori, Mario R., Tools for Sampling Multivariate Archimedean Copulas. YieldCurve, April 2006, Available at SSRN: https://ssrn.com/abstract=1124682 or http://dx.doi.org/10.2139/ssrn.1124682

Mario R. Melchiori (Contact Author)

Universidad Nacional del Litoral ( email )

Mitre 2833
Santo Tomé, Santa Fe S3016MXQ
Argentina
54 (342) 4748918 (Phone)

HOME PAGE: http://mario.melchiori.googlepages.com/workingpapers

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
801
Abstract Views
3,086
rank
43,820
PlumX Metrics