Multivariate hierarchical copulas with shocks

DOI10.1007/s11009-009-9134-6zbMath1201.62063MaRDI QIDQ607608

Marius Hofert, Matthias Scherer, Fabrizio Durante

Publication date: 22 November 2010

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-009-9134-6

zbMATH Keywords

copula; hierarchical structure; Marshall-Olkin distribution; shock model; singular component

Mathematics Subject Classification ID

62H99: Multivariate analysis

62H05: Characterization and structure theory for multivariate probability distributions; copulas

60E05: Probability distributions: general theory

91B70: Stochastic models in economics

65C10: Random number generation in numerical analysis

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Uses Software

• QRM

Cites Work

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