PL EN


2014 | 3 | 302 |
Article title

ON GENERATING MULTIVARIATE SAMPLES WITH ARCHIMEDEAN COPULAS

Authors
Content
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Languages of publication
EN
Abstracts
EN
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. Such generator may be used in Monte Carlo investigations to create multivariate samples. Apart from theoretical considerations there are presented the examples of application of the method. All the calculations were carried out with R 2.15.0 packages.
Year
Volume
3
Issue
302
Physical description
Dates
published
2014-11-09
Contributors
References
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.ojs-issn-2353-7663-year-2014-volume-3-issue-302-article-53
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