On the construction of nested Archimedean copulas for \(d\)-monotone generators

DOI10.1016/J.SPL.2015.03.001zbMath1328.62316OpenAlexW2008383133MaRDI QIDQ893902

Mohsen Rezapour

Publication date: 23 November 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2015.03.001

zbMATH Keywords

generator derivativeslikelihood-based inference\(d\)-monotonenested Archimedean copulaWilliamson \(d\)-transforms

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Probability distributions: general theory (60E05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (8)

Kendall's tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas ⋮ Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation ⋮ On the estimation of nested Archimedean copulas: a theoretical and an experimental comparison ⋮ Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case ⋮ Copulas, stable tail dependence functions, and multivariate monotonicity ⋮ On structure, family and parameter estimation of hierarchical Archimedean copulas ⋮ Penalized estimation of hierarchical Archimedean copula ⋮ On properties of progressively Type-II censored conditionally N-ordered statistics arising from a non-identical and dependent random vector

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