Results 181 to 190 of about 19,478 (209)

A New Family of Archimedean Copulas: The Truncated-Poisson Family of Copulas

Bulletin of the Malaysian Mathematical Sciences Society, 2022
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Abdulhamid A. Alzaid, Weaam M. Alhadlaq
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Estimating Archimedean Copulas in High Dimensions

Scandinavian Journal of Statistics, 2012
Abstract.  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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A Generalization of the Archimedean Class of Bivariate Copulas

Annals of the Institute of Statistical Mathematics, 2006
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DURANTE, FABRIZIO, J. J. QUESADA MOLINA, SEMPI, Carlo   +2 more
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Heterogeneous Archimedean Copula

SSRN Electronic Journal, 2016
Archimedean 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., 2016
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Multivariate Archimedean Copulas, d-Monotone Functions and ℓ1-Norm Symmetric Distributions

Annals of Statistics, 2009
Johanna G. Nešlehová, Alexander J. McNeil   +1 more
exaly  

On the Structure and Estimation of Hierarchical Archimedean Copulas

Journal of Econometrics, 2013
Wolfgang Schmid, Ostap Okhrin
exaly  

A Stochastic Representation and Sampling Algorithm for Nested Archimedean Copulas

Journal of Statistical Computation and Simulation, 2012
Marius Hofert
exaly  

Archimedean Copulas

2012
openaire   +1 more source

Inference in Multivariate Archimedean Copula Models

Test, 2011
Johanna G. Nešlehová, Christian Genest, Johanna Ziegel   +2 more
exaly