ON GENERATING MULTIVARIATE SAMPLES WITH ARCHIMEDEAN COPULAS
Archimedean copulas are one of the most known classes of copulas. They allow modeling the dependencies between variables with small number of parameters. This paper presents a method designated to generate multivariate samples of the same distribution like primary sample with Archimedean copulas. Su...
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| Format: | Article |
| Language: | English |
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Lodz University Press
2014-11-01
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| Series: | Acta Universitatis Lodziensis. Folia Oeconomica |
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| Online Access: | https://czasopisma.uni.lodz.pl/foe/article/view/53 |