On the structure and estimation of hierarchical Archimedean copulas (Q528182): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
ReferenceBot (talk | contribs)
Changed an Item
(5 intermediate revisions by 5 users not shown)
Property / author
 
Property / author: Ostap Okhrin / rank
Normal rank
 
Property / author
 
Property / author: Yarema Okhrin / rank
Normal rank
 
Property / author
 
Property / author: Wolfgang Schmid / rank
Normal rank
 
Property / author
 
Property / author: Ostap Okhrin / rank
 
Normal rank
Property / author
 
Property / author: Yarema Okhrin / rank
 
Normal rank
Property / author
 
Property / author: Wolfgang Schmid / rank
 
Normal rank
Property / Mathematics Subject Classification ID
 
Property / Mathematics Subject Classification ID: 62H05 / rank
 
Normal rank
Property / Mathematics Subject Classification ID
 
Property / Mathematics Subject Classification ID: 62H12 / rank
 
Normal rank
Property / Mathematics Subject Classification ID
 
Property / Mathematics Subject Classification ID: 62P20 / rank
 
Normal rank
Property / zbMATH DE Number
 
Property / zbMATH DE Number: 6714830 / rank
 
Normal rank
Property / zbMATH Keywords
 
hierarchical Archimedean copula
Property / zbMATH Keywords: hierarchical Archimedean copula / rank
 
Normal rank
Property / zbMATH Keywords
 
multivariate distribution
Property / zbMATH Keywords: multivariate distribution / rank
 
Normal rank
Property / zbMATH Keywords
 
density estimation
Property / zbMATH Keywords: density estimation / rank
 
Normal rank
Property / zbMATH Keywords
 
asymptotic theory
Property / zbMATH Keywords: asymptotic theory / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W1978267962 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pair-copula constructions of multiple dependence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Beyond simplified pair-copula constructions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Vines -- a new graphical model for dependent random variables. / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Class of Nonparametric Tests for Independence in Bivariate Populations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient Estimation of Semiparametric Multivariate Copula Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric estimation of copula functions for dependence modelling / rank
 
Normal rank
Property / cites work
 
Property / cites work: Selecting and estimating regular vine copulae and application to financial returns / rank
 
Normal rank
Property / cites work
 
Property / cites work: Goodness-of-fit tests for copulas / rank
 
Normal rank
Property / cites work
 
Property / cites work: A semiparametric estimation procedure of dependence parameters in multivariate families of distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Statistical Inference Procedures for Bivariate Archimedean Copulas / rank
 
Normal rank
Property / cites work
 
Property / cites work: Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Use of Archimedean Copulas to Model Portfolio Allocations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5543905 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A stochastic representation and sampling algorithm for nested Archimedean copulas / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficiently sampling nested Archimedean copulas / rank
 
Normal rank
Property / cites work
 
Property / cites work: Densities of nested Archimedean copulas / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic efficiency of the two-stage estimation method for copula-based models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4382161 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Measurement of aggregate risk with copulas / rank
 
Normal rank
Property / cites work
 
Property / cites work: Copula-based multivariate GARCH model with uncorrelated dependent errors / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sampling nested Archimedean copulas / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: An introduction to copulas. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conditional Heteroskedasticity in Asset Returns: A New Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Properties of hierarchical Archimedean copulas / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient Bayesian inference for Gaussian copula regression models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic Normality of Nonparametric Tests for Independence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Goodness-of-fit tests for parametric families of Archimedean copulas / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hierarchies of Archimedean copulas / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3336431 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3281461 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modeling Longitudinal Data Using a Pair-Copula Decomposition of Serial Dependence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Maximization by Parts in Likelihood Inference / rank
 
Normal rank
Property / cites work
 
Property / cites work: Cluster analysis for portfolio optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Model Selection and Semiparametric Inference for Bivariate Failure-Time Data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sampling from Archimedean copulas / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Revision as of 18:54, 13 July 2024

scientific article
Language Label Description Also known as
English
On the structure and estimation of hierarchical Archimedean copulas
scientific article

    Statements

    On the structure and estimation of hierarchical Archimedean copulas (English)
    0 references
    0 references
    0 references
    0 references
    12 May 2017
    0 references
    hierarchical Archimedean copula
    0 references
    multivariate distribution
    0 references
    density estimation
    0 references
    asymptotic theory
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers