Constructing hierarchical archimedean copulas with Lévy subordinators (Q968494)
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English | Constructing hierarchical archimedean copulas with Lévy subordinators |
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Constructing hierarchical archimedean copulas with Lévy subordinators (English)
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5 May 2010
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Regular Archimedean copulas exhibit exchangeability of dependence structure which is often a not realistic property. Hierarchical Archimedean copulas are usually presented as a way around to this drawback. This article deals with parametric hierarchical Archimedean copulas given by independent exponential random variables divided by group specific Lévy subordinators which are evaluated at a common random time. Hence, the resulting vector has specific groups of components presenting distinct dependence structures. Moreover, the approach offers an efficient sampling algorithm which is of easy construction.
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hierarchical Archimedean copulas
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Lévy subordinators
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sampling algorithm
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