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Nested Archimedean Copulas Meet R: The nacopula Package [PDF]
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
core
Spline approximations to conditional Archimedean copula [PDF]
Stat, 2014 We propose a flexible copula model to describe changes with a covariate in the dependence structure of (conditionally exchangeable) random variables. The starting point is a spline approximation to the generator of an Archimedean copula. Changes in the dependence structure with a covariate x are modelled by flexible regression of the spline ...
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Enjoy the Joy of Copulas: With a Package copula [PDF]
Copulas have become a popular tool in multivariate modeling successfully applied in many fields. A good open-source implementation of copulas is much needed for more practitioners to enjoy the joy of copulas.
Jun Yan
core
Extremal behavior of Archimedean copulas
, 2011 We show how the extremal behavior of d-variate Archimedean copulas can be deduced from their stochastic representation as the survival dependence structure of an ℓ1-symmetric distribution (see McNeil and Nešlehová (2009)).
Martin Larsson, Johanna Nešlehová
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Constructing hierarchical Archimedean copulas with Lévy subordinators
, 2010 A probabilistic interpretation for hierarchical Archimedean copulas based on Lévy subordinators is given. Independent exponential random variables are divided by group-specific Lévy subordinators which are evaluated at a common random time. The resulting
Hofert, Marius +3 more
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Performance evaluation for medical alliance in China based on a novel multi-attribute group decision-making technique with Archimedean copulas-based Hamy operators and extended best-worst method. [PDF]
Digit Health, 2023 Xing Y, Wang J.
europepmc +1 more source
Exact simulation of reciprocal Archimedean copulas [PDF]
Statistics & Probability Letters, 2018 The decreasing enumeration of the points of a Poisson random measure whose mean measure has finite survival function on the positive half-axis can be represented as a non-increasing function of the jump times of a standard Poisson process. This observation allows to generalize the essential idea from a well-known exact simulation algorithm for ...
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Constructing and generalizing multivariate copulas: a generalizing approach [PDF]
Recently, Liebscher (2006) introduced a general construction scheme of d-variate copulas which generalizes the Archimedean family. Similarly, Morillas (2005) proposed a method to obtain a variety of new copulas from a given d-copula.
Fischer, Matthias J., Köck, Christian
core
Enjoy the Joy of Copulas: With a Package copula
Journal of Statistical Software, 2007 Copulas have become a popular tool in multivariate modeling successfully applied in many fields. A good open-source implementation of copulas is much needed for more practitioners to enjoy the joy of copulas.
Jun Yan
doaj
On bivariate Archimedean copulas with fractal support
Dependence ModelingDue to their simple analytic form (bivariate) Archimedean copulas are usually viewed as very smooth and handy objects, which should distribute mass in a fairly regular and certainly not in a pathological way. Building upon recently established results on
Sánchez Juan Fernández +1 more
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