Tagged Questions

votes

1answer

287 views

Efficient Generation of Random Variates from a Copula Distribution

I have a 7-asset portfolio for which I want to simulate daily log-deltas using a Student T copula. The marginal distributions are all either Stable or TsallisQGaussian. Using NMaximize, I have ...

asked Feb 23 at 21:01

user6062
864

newest random probability-and-stats questions feed

Technology			Life / Arts	Culture / Recreation	Science	Other
Stack Overflow Server Fault Super User Web Applications Ask Ubuntu Webmasters Game Development TeX - LaTeX	Programmers Unix & Linux Ask Different (Apple) WordPress Answers Geographic Information Systems Electrical Engineering Android Enthusiasts IT Security	Database Administrators Drupal Answers SharePoint User Experience Mathematica more (14)	Photography Science Fiction & Fantasy Seasoned Advice (cooking) Home Improvement more (13)	English Language & Usage Skeptics Mi Yodeya (Judaism) Travel Arqade (gaming) Bicycles Role-playing Games more (22)	Mathematics Cross Validated (stats) Theoretical Computer Science Physics more (7)	Stack Apps Meta Stack Overflow Area 51 Stack Overflow Careers

rev 2013.5.22.697

Mathematica is a registered trademark of Wolfram Research, Inc. While the mark is used herein with the limited permission of Wolfram Research, Stack Exchange and this site disclaim all affiliation therewith.

Tagged Questions

Efficient Generation of Random Variates from a Copula Distribution

Related Tags