A general approach to generate random variates for multivariate copulae
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 partition
