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Matrix-Tilted Archimedean Copulas [PDF]
Risks, 2021 The new class of matrix-tilted Archimedean copulas is introduced. It combines properties of Archimedean and elliptical copulas by introducing a tilting matrix in the stochastic representation of Archimedean copulas, similar to the Cholesky factor for ...
Marius Hofert, Johanna F Ziegel
exaly +6 more sources
On Generators in Archimedean Copulas [PDF]
Sahand Communications in Mathematical Analysis, 2018 This study after reviewing construction methods of generators in Archimedean copulas (AC), proposes several useful lemmas related with generators of AC. Then a new trigonometric Archimedean family will be shown which is based on cotangent function. The
Vadoud Najjari
doaj +3 more sources
Properties of Hierarchical Archimedean Copulas [PDF]
Statistics & Risk Modeling, 2013 In this paper we analyse the properties of hierarchical Archimedean copulas. This class is a generalisation of the Archimedean copulas and allows for general non-exchangeable dependency structures. We show that the structure of the copula can be uniquely
Ostap Okhrin +2 more
core +5 more sources
Convergence of Archimedean Copulas [PDF]
Statistics & Probability Letters, 2006 Convergence of a sequence of bivariate Archimedean copulas to another Archimedean copula or to the comonotone copula is shown to be equivalent with convergence of the corresponding sequence of Kendall distribution functions.No extra differentiability ...
Charpentier, A., Segers, J.J.J.
core +7 more sources
ON GENERATING MULTIVARIATE SAMPLES WITH ARCHIMEDEAN COPULAS [PDF]
Acta Universitatis Lodziensis. Folia Oeconomica, 2014 Archimedean copulas are one of the most known classes of copulas. They allow modeling the dependencies between variables with small number of parameters.
Jacek Stelmach
doaj +3 more sources
Lorenz-generated bivariate Archimedean copulas
Dependence Modeling, 2020 A novel generating mechanism for non-strict bivariate Archimedean copulas via the Lorenz curve of a non-negative random variable is proposed. Lorenz curves have been extensively studied in economics and statistics to characterize wealth inequality and ...
Fontanari Andrea +2 more
doaj +4 more sources
On an asymmetric extension of multivariate Archimedean copulas based on quadratic form
Dependence Modeling, 2016 An important topic in Quantitative Risk Management concerns the modeling of dependence among risk sources and in this regard Archimedean copulas appear to be very useful.
Di Bernardino Elena, Rullière Didier
exaly +2 more sources
Dependence Modeling, 2013 We study the impact of certain transformations within the class of Archimedean copulas. We give some admissibility conditions for these transformations, and define some equivalence classes for both transformations and generators of Archimedean copulas ...
Di Bernardino Elena, Rullière Didier
exaly +2 more sources
Nested Archimedean Copulas Meet R: The nacopula Package [PDF]
Journal of Statistical Software, 2011 The package nacopula provides procedures for constructing nested Archimedean copulas in any dimensions and with any kind of nesting structure, generating vectors of random variates from the constructed objects, computing function values and probabilities
Marius Hofert, Martin Maechler
doaj +1 more source
Generative Archimedean Copulas
CoRR, 2021 We propose a new generative modeling technique for learning multidimensional cumulative distribution functions (CDFs) in the form of copulas. Specifically, we consider certain classes of copulas known as Archimedean and hierarchical Archimedean copulas, popular for their parsimonious representation and ability to model different tail dependencies.
Yuting Ng +3 more
openaire +3 more sources