Results 21 to 30 of about 18,813 (205)

Archimedean copulae and positive dependence [PDF]

Journal of Multivariate Analysis, 2005
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MUELLER A, SCARSINI, MARCO
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General Multivariate Dependence using Associated Copulas

Revstat Statistical Journal, 2016
This paper studies the general multivariate dependence and tail dependence of a random vector. We analyse the dependence of variables going up or down, covering the 2 d orthants of dimension d and accounting for non-positive dependence.
Yuri Salazar Flores
doaj   +1 more source

Hierarchical Archimedean Copulas for MATLAB and Octave: The HACopula Toolbox

Journal of Statistical Software, 2020
To extend the current implementation of copulas in MATLAB to non-elliptical distributions in arbitrary dimensions enabling for asymmetries in the tails, the toolbox HACopula provides functionality for modeling with hierarchical (or nested) Archimedean ...
Jan Górecki, Marius Hofert, Martin Holena   +2 more
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Convergence of Archimedean Copulas

Freakonometrics, 2008
The paper on Convergence of Archimedean Copulas, with Johan Segers, just appeared, in Statistics and Probability Letters. Convergence of a sequence of bivariate Archimedean copulas to another Archimedean copula or to the comonotone copula is shown to be ...
Arthur Charpentier
core   +3 more sources

Tails of multivariate Archimedean copulas

Journal of Multivariate Analysis, 2009
A complete and user-friendly directory of tails of Archimedean copulas is presented which can be used in the selection and construction of appropriate models with desired properties. The results are synthesized in the form of a decision tree: Given the values of some readily computable characteristics of the Archimedean generator, the upper and lower ...
Arthur Charpentier, Johan Segers
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Compound Archimedean Copulas

International Journal of Statistics and Probability, 2021
The copula function is an effective and elegant tool useful for modeling dependence between random variables. Among the many families of this function, one of the most prominent family of copula is the Archimedean family, which has its unique structure and features.
Moshe Kelner, Zinoviy Landsman, Udi E. Makov   +2 more
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Spatial Tail Dependence and Survival Stability in a Class of Archimedean Copulas

International Journal of Mathematics and Mathematical Sciences, 2016
This paper investigates properties of extensions of tail dependence of Archimax copulas to high dimensional analysis in a spatialized framework. Specifically, we propose a characterization of bivariate margins of spatial Archimax processes while spatial ...
Diakarya Barro, Moumouni Diallo, Remi Guillaume Bagré   +2 more
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Characterizations of Archimedean n-copulas [PDF]

Kybernetika, 2015
Summary: We present three characterizations of \(n\)-dimensional Archimedean copulas: algebraic, differential and diagonal. The first is due to Jouini and Clemen. We formulate it in a more general form, in terms of an \(n\)-variable operation derived from a binary operation.
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Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case

Dependence Modeling, 2019
Two simulation algorithms for hierarchical Archimedean copulas in the case when intra-group generators are not necessarily completely monotone are presented. Both generalize existing algorithms for the completely monotone case.
Mai Jan-Frederik
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A multivariate version of Williamson’s theorem, ℓ1-symmetric survival functions, and generalized Archimedean copulas

Dependence Modeling, 2018
Williamson’s integral representation of n-monotone functions on the half-line is generalized to several dimensions. This leads to a characterization of multivariate survival functions with multiply ℓ1- symmetry.
Ressel Paul
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