منابع مشابه
Properties of Hierarchical Archimedean Copulas
In this paper we analyse the properties of hierarchical Archimedean copulas. This class is a generalisation of the Archimedean copulas and allows for general non-exchangeable dependency structures. We show that the structure of the copula can be uniquely recovered from all bivariate margins. We derive the distribution of the copula value, which is particularly useful for tests and constructing ...
متن کاملNon-exchangeable random variables, Archimax copulas and their fitting to real data
In recent years copulas turned out to be a promising tool in multivariate modelling, mostly with applications in actuarial sciences and hydrology. In short, copula is a function which allows modelling dependence structure between stochastic variables. The main advantage is that the copula approach can split the problem of constructing multivariate probability distributions into a part containin...
متن کاملHierarchical Kendall copulas: Properties and inference
While there is substantial need for dependence models in higher dimensions, most existing models quickly become rather restrictive and barely balance parsimony and flexibility. Hierarchical constructions may improve on that by grouping variables in different levels. In this paper, the new class of hierarchical Kendall copulas is proposed and discussed. Hierarchical Kendall copulas are built up ...
متن کاملTransformations of copulas
Transformations of copulas by means of increasing bijections on the unit interval and attractors of copulas are discussed. The invariance of copulas under such transformations as well as the relationship to maximum attractors and Archimax copulas is investigated.
متن کاملOn an asymmetric extension of multivariate Archimedean copulas
Archimedean copulas are copulas determined by a specific real function, called the generator. Composited with the copula at a given point, this generator can be expressed as a linear form of generators of the considered point components. In this paper, we discuss the case where this function is expressed as a quadratic form (called here multivariate Archimatrix copulas). This allows extending A...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2018
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2018.05.001