Exact Simulation of reciprocal Archimedean copulas

Abstract

The decreasing enumeration of the points of a Poisson random measure whose mean measure has finite survival function on the positive half-axis can be represented as a non-increasing function of the jump times of a standard Poisson process. This observation allows to generalize the essential idea from a well-known exact simulation algorithm for arbitrary extreme-value copulas to copulas of a more general family of max-infinitely divisible distributions, with reciprocal Archimedean copulas being a particular example.

References in corpus (2)

• Multivariate Archimedean copulas, $d$-monotone functions and ${\ell }_1$-norm symmetric distributions
• Exact simulation of max-stable processes

Cited by in corpus (1)

• Stochastic decomposition for ${\ell }_p$-norm symmetric survival functions on the positive orthant