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Heterogeneous Archimedean Copula
SSRN Electronic Journal, 2016Archimedean copulae build a large family of copulae exhibiting tail-dependency in many cases. We extend the classical homogeneous (exchangeable) Archimedean copula to the heterogeneous case. This will extend the use of this copula family to multivariate random variable with pairwise different dependencies.
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Classification of reserve in Sungun mine based on Archimedean copulas estimates
Arabian Journal of Geosciences, 2022Mohammad Akbari Gharalari +2 more
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Archimedean copulas with applications to VaR estimation
Stat. Methods Appl., 2016zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Right-truncated Archimedean and related copulas
Insurance: Mathematics and Economics, 2021Marius Höfert
exaly
Journal of Wind Engineering and Industrial Aerodynamics
Yi Yang +4 more
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Yi Yang +4 more
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Statistical Inference Procedures for Bivariate Archimedean Copulas
, 1993C. Genest, Louis‐Paul Rivest
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Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs
Computational Statistics and Data Analysis, 2021Hélène Cossette, Etienne Marceau
exaly
Sampling nested Archimedean copulas
Journal of Statistical Computation and Simulation, 2008Alexander J Mcneil
exaly
A stochastic representation and sampling algorithm for nested Archimedean copulas
Journal of Statistical Computation and Simulation, 2012Marius Höfert
exaly