ON GENERATING MULTIVARIATE SAMPLES WITH ARCHIMEDEAN COPULAS

dc.contributor.author	Stelmach, Jacek	pl_PL
dc.date.accessioned	2015-12-02T16:00:04Z
dc.date.available	2015-12-02T16:00:04Z
dc.date.issued	2014	pl_PL
dc.identifier.issn	0208-6018	pl_PL
dc.identifier.uri	http://hdl.handle.net/11089/14858
dc.description.abstract	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.	en_US
dc.language.iso	en	en_US
dc.publisher	Wydawnictwo Uniwersytetu Łódzkiego	en_US
dc.relation.ispartofseries	Acta Universitatis Lodziensis, Folia Oeconomica; 302	pl_PL
dc.title	ON GENERATING MULTIVARIATE SAMPLES WITH ARCHIMEDEAN COPULAS	en_US
dc.type	Article	en_US
dc.contributor.authorEmail	Jacek.Stelmach@polwax.pl	pl_PL