Simulating Regular Vine Copulas and Distributions

Abstract

For simulation from a d-dimensional distribution function F1,...,d with conditional distribution functions Fj|1,…,j-1(· | x1, …, xj-1) and their inverses Fj|1,⋯,j-1-1(·|x1,…,xj-1) for j= 2, …, d we can use iterative inverse probability transformations.