Results 181 to 190 of about 18,813 (205)
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Estimating Archimedean Copulas in High Dimensions
Scandinavian Journal of Statistics, 2012Abstract. This article presents a novel estimation procedure for high‐dimensional Archimedean copulas. In contrast to maximum likelihood estimation, the method presented here does not require derivatives of the Archimedean generator. This is computationally advantageous for high‐dimensional Archimedean copulas in which higher‐order derivatives are ...
Hering, Christian, Stadtmüller, Ulrich
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Right-truncated Archimedean and related copulas
Insurance: Mathematics and Economics, 2021 The copulas of random vectors with standard uniform univariate margins truncated from the right are considered and a general formula for such right-truncated conditional copulas is derived.
Marius Höfert
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Hierarchical Archimedean Copulas
SpringerBriefs in Applied Statistics and EconometricsJan Górecki, Ostap Okhrin
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Sampling nested Archimedean copulas
Journal of Statistical Computation and Simulation, 2008 We give algorithms for sampling from non-exchangeable Archimedean copulas created by the nesting of Archimedean copula generators, where in the most general algorithm the generators may be nested to an arbitrary depth.
Alexander McNeil
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Hierarchies of Archimedean copulas
Quantitative Finance, 2009We present a flexible class of hierarchical copulas capable of modelling multidimensional joint distributions of asset returns with a richer rank correlation structure than existing models. We derive estimators and simulation techniques. The methods are applied to an illustrative portfolio consisting of a subset of DAX stocks.
Cornelia Savu, Mark Trede
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A New Family of Archimedean Copulas: The Truncated-Poisson Family of Copulas
Bulletin of the Malaysian Mathematical Sciences Society, 2022zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Abdulhamid A. Alzaid, Weaam M. Alhadlaq
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A Generalization of the Archimedean Class of Bivariate Copulas
Annals of the Institute of Statistical Mathematics, 2006zbMATH Open Web Interface contents unavailable due to conflicting licenses.
DURANTE, FABRIZIO +2 more
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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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Archimedean copulas with applications to VaR estimation
Stat. Methods Appl., 2016zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs
Computational Statistics and Data Analysis, 2021Etienne Marceau, Hélène Cossette
exaly