Abstract
We suggest a method of sampling from Archimedean n-copulas, close to that given by McNeil and Nešlehová. We start from two random vectors, some subvectors of which are uniformly distributed on an -dimensional simplex and a pyramid respectively. We also introduce a family of copulas that we call associated n-copulas, depending on the additive generators of Archimedean n-copulas. For such copulas we give formulas for two popular nonparametric dependence measures: Kendall’s tau and Spearman’s rho.
Disclosure statement
No potential conflict of interest was reported by the author.