32 citations · 32 across the 3 of their papers we have counts for
9 papers
Right-truncated Archimedean and related copulas
Marius Hofert
The copulas of random vectors with standard uniform univariate margins truncated from the right are considered and a general formula for such right-truncated conditional copulas is…
Outer power transformations of hierarchical Archimedean copulas: Construction, sampling and estimation
Jan Górecki, Marius Hofert, Ostap Okhrin
A large number of commonly used parametric Archimedean copula (AC) families are restricted to a single parameter, connected to a concordance measure such as Kendall's tau. This oft…
Random number generators produce collisions: Why, how many and more
Marius Hofert
It seems surprising that when applying widely used random number generators to generate one million random numbers on modern architectures, one obtains, on average, about 116 colli…
Normal variance mixtures: Distribution, density and parameter estimation
Erik Hintz, Marius Hofert, Christiane Lemieux
Normal variance mixtures are a class of multivariate distributions that generalize the multivariate normal by randomizing (or mixing) the covariance matrix via multiplication by a…
Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations
Takaaki Koike, Marius Hofert
We propose a novel framework of estimating systemic risk measures and risk allocations based on Markov chain Monte Carlo (MCMC) methods. We consider a class of allocations whose jt…
Quasi-random sampling for multivariate distributions via generative neural networks
Marius Hofert, Avinash Prasad, Mu Zhu
Generative moment matching networks (GMMNs) are introduced for generating quasi-random samples from multivariate models with any underlying copula in order to compute estimates und…