### Abstract

We suggest two methods for simulating from a multivariate copula in an arbitrary dimension. Although our main emphasis in this paper is on multivariate extreme value distributions, the proposed methods can be applied to any copula. The basic idea is to approximate the (unknown) density of the copula by a distribution that has a piece-wise constant (histogram) density. This is achieved by partitioning the support of a given copula C into a large number of hyper-rectangles and using them to generate random variates from an approximation of the copula. We suggest two methods for finding this approximation which correspond to either finding hyper-rectangles which have equal probability mass with respect to C, or determining a partition using hyper-squares of equal volume and finding the corresponding probability mass of each hyper-square. We also discuss how the generated random variates can be used as proposals in a Metropolis–Hastings algorithm, when C is an absolutely continuous distribution function, to generate a sequence of random variates from C. An implementation of the proposed methodologies is provided for the statistical computing and graphics environment R in our package called SimCop.

Original language | English |
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Pages (from-to) | 140-155 |

Number of pages | 16 |

Journal | Australian and New Zealand Journal of Statistics |

Volume | 60 |

Issue number | 1 |

DOIs | |

Publication status | Published - 1 Mar 2018 |

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*Australian and New Zealand Journal of Statistics*, vol. 60, no. 1, pp. 140-155. https://doi.org/10.1111/anzs.12209

**A general approach to generate random variates for multivariate copulae.** / Tajvidi, N.; Turlach, B. A.

Research output: Contribution to journal › Article

TY - JOUR

T1 - A general approach to generate random variates for multivariate copulae

AU - Tajvidi, N.

AU - Turlach, B. A.

PY - 2018/3/1

Y1 - 2018/3/1

N2 - We suggest two methods for simulating from a multivariate copula in an arbitrary dimension. Although our main emphasis in this paper is on multivariate extreme value distributions, the proposed methods can be applied to any copula. The basic idea is to approximate the (unknown) density of the copula by a distribution that has a piece-wise constant (histogram) density. This is achieved by partitioning the support of a given copula C into a large number of hyper-rectangles and using them to generate random variates from an approximation of the copula. We suggest two methods for finding this approximation which correspond to either finding hyper-rectangles which have equal probability mass with respect to C, or determining a partition using hyper-squares of equal volume and finding the corresponding probability mass of each hyper-square. We also discuss how the generated random variates can be used as proposals in a Metropolis–Hastings algorithm, when C is an absolutely continuous distribution function, to generate a sequence of random variates from C. An implementation of the proposed methodologies is provided for the statistical computing and graphics environment R in our package called SimCop.

AB - We suggest two methods for simulating from a multivariate copula in an arbitrary dimension. Although our main emphasis in this paper is on multivariate extreme value distributions, the proposed methods can be applied to any copula. The basic idea is to approximate the (unknown) density of the copula by a distribution that has a piece-wise constant (histogram) density. This is achieved by partitioning the support of a given copula C into a large number of hyper-rectangles and using them to generate random variates from an approximation of the copula. We suggest two methods for finding this approximation which correspond to either finding hyper-rectangles which have equal probability mass with respect to C, or determining a partition using hyper-squares of equal volume and finding the corresponding probability mass of each hyper-square. We also discuss how the generated random variates can be used as proposals in a Metropolis–Hastings algorithm, when C is an absolutely continuous distribution function, to generate a sequence of random variates from C. An implementation of the proposed methodologies is provided for the statistical computing and graphics environment R in our package called SimCop.

KW - copula

KW - extreme value distributions

KW - Hastings algorithm

KW - Metropolis

KW - random variate generation

UR - http://www.scopus.com/inward/record.url?scp=85043991512&partnerID=8YFLogxK

U2 - 10.1111/anzs.12209

DO - 10.1111/anzs.12209

M3 - Article

VL - 60

SP - 140

EP - 155

JO - Australian & New Zealand Journal of Statistics

JF - Australian & New Zealand Journal of Statistics

SN - 1369-1473

IS - 1

ER -