A general approach to generate random variates for multivariate copulae
Tajvidi, Nader LU
and Turlach, Berwin
(2018)
In Australian & New Zealand Journal of Statistics
60(1).
p.140-155
- Abstract
- We suggest two methods for simulating from a multivariate copula in an arbitrary dimension. Although our main emphasis in this paper is on multivariate extreme value distributions, the proposed methods can be applied to any copula. The basic idea is to approximate the (unknown) density of the copula by a distribution that has a piece‐wise constant (histogram) density. This is achieved by partitioning the support of a given copula C into a large number of hyper‐rectangles and using them to generate random variates from an approximation of the copula. We suggest two methods for finding this approximation which correspond to either finding hyper‐rectangles which have equal probability mass with respect to C, or determining a partition using... (More)
- We suggest two methods for simulating from a multivariate copula in an arbitrary dimension. Although our main emphasis in this paper is on multivariate extreme value distributions, the proposed methods can be applied to any copula. The basic idea is to approximate the (unknown) density of the copula by a distribution that has a piece‐wise constant (histogram) density. This is achieved by partitioning the support of a given copula C into a large number of hyper‐rectangles and using them to generate random variates from an approximation of the copula. We suggest two methods for finding this approximation which correspond to either finding hyper‐rectangles which have equal probability mass with respect to C, or determining a partition using hyper‐squares of equal volume and finding the corresponding probability mass of each hyper‐square. We also discuss how the generated random variates can be used as proposals in a Metropolis–Hastings algorithm, when C is an absolutely continuous distribution function, to generate a sequence of random variates from C. An implementation of the proposed methodologies is provided for the statistical computing and graphics environment R in our package called SimCop. (Less)
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/3b653083-4c91-47c1-a96e-c6d6226adde3
- author
- Tajvidi, Nader
LU
and Turlach, Berwin
- organization
- publishing date
- 2018-03-14
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- copula, extreme value distributions, Hastings algorithm, Metropolis, random variate generation
- in
- Australian & New Zealand Journal of Statistics
- volume
- 60
- issue
- 1
- pages
- 16 pages
- publisher
- Wiley-Blackwell
- external identifiers
-
- scopus:85043991512
- ISSN
- 1467-842X
- DOI
- 10.1111/anzs.12209
- language
- English
- LU publication?
- yes
- id
- 3b653083-4c91-47c1-a96e-c6d6226adde3
- date added to LUP
- 2018-03-16 16:01:48
- date last changed
- 2022-04-25 06:16:14
@article{3b653083-4c91-47c1-a96e-c6d6226adde3,
abstract = {{We suggest two methods for simulating from a multivariate copula in an arbitrary dimension. Although our main emphasis in this paper is on multivariate extreme value distributions, the proposed methods can be applied to any copula. The basic idea is to approximate the (unknown) density of the copula by a distribution that has a piece‐wise constant (histogram) density. This is achieved by partitioning the support of a given copula C into a large number of hyper‐rectangles and using them to generate random variates from an approximation of the copula. We suggest two methods for finding this approximation which correspond to either finding hyper‐rectangles which have equal probability mass with respect to C, or determining a partition using hyper‐squares of equal volume and finding the corresponding probability mass of each hyper‐square. We also discuss how the generated random variates can be used as proposals in a Metropolis–Hastings algorithm, when C is an absolutely continuous distribution function, to generate a sequence of random variates from C. An implementation of the proposed methodologies is provided for the statistical computing and graphics environment R in our package called SimCop.}},
author = {{Tajvidi, Nader and Turlach, Berwin}},
issn = {{1467-842X}},
keywords = {{copula; extreme value distributions; Hastings algorithm; Metropolis; random variate generation}},
language = {{eng}},
month = {{03}},
number = {{1}},
pages = {{140--155}},
publisher = {{Wiley-Blackwell}},
series = {{Australian & New Zealand Journal of Statistics}},
title = {{A general approach to generate random variates for multivariate copulae}},
url = {{http://dx.doi.org/10.1111/anzs.12209}},
doi = {{10.1111/anzs.12209}},
volume = {{60}},
year = {{2018}},
}