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A method for constructing higher-dimensional copulas
Journal article   Peer reviewed

A method for constructing higher-dimensional copulas

Fabrizio Durante, Enrico Foscolo, JA Rodrìguez-Lallena and M Ùbeda-Flores
Statistics, Vol.46(3), pp.387-404
46
2012
Handle:
https://hdl.handle.net/10863/251

Abstract

Copulas Farlie-Gumbel-Morgenstern distribution Sampling procedure
For every n >= 3, a method is introduced and investigated for generating n-dimensional copulas starting with an (n - 1)-dimensional copula already known. These copulas are particularly useful when the behaviour of a random vector (X-1, X-2, ... , Xn-1) formed by n - 1 components is known, but another random variable, say X-n, should be included into the model. An illustration of the usefulness of this construction is presented, showing some of its computational features.

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