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Publication Information

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Title: A note on a simplified and general approach to simulating from multivariate copula functions

Author: Goodwin, Barry K.;

Date: 2013

Source: Applied Economics Letters 20(9):910-915

Publication Series: Scientific Journal (JRNL)

Description: Copulas have become an important analytic tool for characterizing multivariate distributions and dependence. One is often interested in simulating data from copula estimates. The process can be analytically and computationally complex and usually involves steps that are unique to a given parametric copula. We describe an alternative approach that uses ‘Probability-Proportional-to-Size’ random sampling with weights formed from the copula likelihood function. The method is flexible and can be applied to parametric and nonparametric marginal density estimates. The precision of the simulation can be calibrated by adjusting the density of the multidimensional grid used in the simulation process. The approach is fully transparent to any copula function with continuous random variables. An example evaluates a number of goodness-of-fit criteria and provides strong support for the validity and practicality of the method.

Keywords: copulas, simulation, nonparametric marginal densities

Publication Notes:

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Goodwin, Barry K. 2013. A note on a simplified and general approach to simulating from multivariate copula functions. Applied Economics Letters 20(9):910-915.

 


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