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Grothe, Oliver and Hofert, Marius (2015). Construction and sampling of Archimedean and nested Archimedean Levy copulas. J. Multivar. Anal., 138. S. 182 - 199. SAN DIEGO: ELSEVIER INC. ISSN 0047-259X

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Abstract

The class of Archimedean Levy copulas is considered with focus on the construction and sampling of the corresponding Levy processes. Furthermore, the class of nested Archimedean Levy copulas is introduced. This class allows one to model hierarchical dependences between Levy processes. It also overcomes the symmetry of Archimedean Levy copulas. Finally, a new sampling algorithm for multivariate Levy processes with dependence structure specified by either Archimedean or nested Archimedean Levy copulas is derived from a Marshall-Olkin-type algorithm. In contrast to the widely used conditional sampling method, this algorithm does not require (inverses of) conditional Levy copulas to be known. It also does not suffer from an asymmetric bias introduced by the conditional sampling method in the Levy framework. (C) 2014 Elsevier Inc. All rights reserved.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Grothe, Oliver UNSPECIFIED UNSPECIFIED UNSPECIFIED Hofert, Marius UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-402786
DOI:	10.1016/j.jmva.2014.12.004
Journal or Publication Title:	J. Multivar. Anal.
Volume:	138
Page Range:	S. 182 - 199
Date:	2015
Publisher:	ELSEVIER INC
Place of Publication:	SAN DIEGO
ISSN:	0047-259X
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language MONOTONE-FUNCTIONS; OPERATIONAL RISK; DEPENDENCE; FAMILIES Multiple languages Statistics & Probability Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/40278