Densities of nested Archimedean copulas

DOI10.1016/J.JMVA.2013.03.006zbMath1277.62138arXiv1204.2410OpenAlexW2031320937MaRDI QIDQ391619

David N. Pham, Marius Hofert

Publication date: 10 January 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.2410

zbMATH Keywords

generator derivativeslikelihood-based inference

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (20)

Nonparametric estimation of the tree structure of a nested Archimedean copula ⋮ Estimation of the association parameters in hierarchically clustered survival data by nested Archimedean copula functions ⋮ On the estimation of nested Archimedean copulas: a theoretical and an experimental comparison ⋮ Optimal Expected-Shortfall Portfolio Selection with Copula-Induced Dependence ⋮ Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case ⋮ Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions ⋮ On the construction of nested Archimedean copulas for \(d\)-monotone generators ⋮ Hypothesis Tests for Structured Rank Correlation Matrices ⋮ Penalized estimation of hierarchical Archimedean copula ⋮ Parametric dependence between random vectors via copula-based divergence measures ⋮ Hierarchical Kendall copulas: Properties and inference ⋮ On the structure and estimation of hierarchical Archimedean copulas ⋮ On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators ⋮ On a construction of multivariate distributions given some multidimensional marginals ⋮ Smooth copula-based generalized extreme value model and spatial interpolation for extreme rainfall in Central Eastern Canada ⋮ On properties of progressively Type-II censored conditionally N-ordered statistics arising from a non-identical and dependent random vector ⋮ Bayesian Model Averaging Over Tree-based Dependence Structures for Multivariate Extremes ⋮ The finite sample properties of sparse M-estimators with pseudo-observations ⋮ Analyzing the Relationship Among Aging Society, Investment in Artificial Intelligence and Economic Growth ⋮ Construction and sampling of Archimedean and nested Archimedean Lévy copulas

Uses Software

• nacopula

Cites Work

• Unnamed Item
• Unnamed Item
• Goodness-of-fit tests for copulas: A review and a power study
• Likelihood inference for Archimedean copulas in high dimensions under known margins
• Efficiently sampling nested Archimedean copulas
• Exponential polynomials, Stirling numbers, and evaluation of some gamma integrals
• Combinatorics of partial derivatives
• Sampling nested Archimedean copulas
• Combinatorial Methods in Discrete Distributions
• Families of Multivariate Distributions
• A stochastic representation and sampling algorithm for nested Archimedean copulas
• Prehistory of Faà   di Bruno's Formula

This page was built for publication: Densities of nested Archimedean copulas