On tail dependence coefficients of transformed multivariate Archimedean copulas
From MaRDI portal
Publication:1699336
DOI10.1016/J.FSS.2015.08.030zbMath1383.62160OpenAlexW1206145192MaRDI QIDQ1699336
Elena Di Bernardino, Didier Rullière
Publication date: 19 February 2018
Published in: Fuzzy Sets and Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.fss.2015.08.030
Markov chainsregular variationArchimedean copulastransformations of Archimedean copulastail dependence coefficients
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)
Related Items (9)
Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation ⋮ A double clustering algorithm for financial time series based on extreme events ⋮ On a generalization of Archimedean copula family ⋮ A note on upper-patched generators for Archimedean copulas ⋮ A generalization of Archimedean and Marshall-Olkin copulas family ⋮ Independence results for multivariate tail dependence coefficients ⋮ Unnamed Item ⋮ A note on distortion effects on the strength of bivariate copula tail dependence ⋮ Behaviour of multivariate tail dependence coefficients
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- How to improve the fit of Archimedean copulas by means of transforms
- Efficiently sampling nested Archimedean copulas
- Copulas, diagonals, and tail dependence
- Archimax copulas and invariance under transformations
- Ordinal sums and idempotents of copulas
- On two distributivity equations for fuzzy implications and continuous, Archimedean t-norms and t-conorms
- A copula-based family of fuzzy implication operators
- Statistical metric spaces
- Bivariate extreme statistics. I
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Lower tail dependence for Archimedean copulas: characterizations and pitfalls
- On copulas, quasicopulas and fuzzy logic
- Orthant tail dependence of multivariate extreme value distributions
- Tails of multivariate Archimedean copulas
- GeD spline estimation of multivariate Archimedean copulas
- On a class of transformations of copulas and quasi-copulas
- Latent connectives in human decision making
- Estimation of ruin probabilities by means of hazard rates
- Subexponential distributions and characterizations of related classes
- An introduction to copulas. Properties and applications
- Monoidal t-norm based logic: Towards a logic for left-continuous t-norms
- Copula convergence theorems for tail events.
- On the use of aggregation operations in information fusion processes.
- A practical approach for estimating weights of interacting criteria from profile sets
- Independence results for multivariate tail dependence coefficients
- Inference in multivariate Archimedean copula models
- Characterizations on heavy-tailed distributions by means of hazard rate.
- Tail dependence from a distributional point of view
- Fuzzy logic -- a personal perspective
- Frank's condition for multivariate Archimedean copulas
- Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory
- Error rates and improved algorithms for rare event simulation with heavy Weibull tails
- Estimating the tail-dependence coefficient: properties and pitfalls
- Copula and semicopula transforms
- A method to obtain new copulas from a given one
- On the distortion of a copula and its margins
- Extremal behavior of Archimedean copulas
- Dependence Modeling with Copulas
- Non-parametric Estimation of Tail Dependence
- Distorted Copulas: Constructions and Tail Dependence
- Nonparametric estimation of the lower tail dependence λLin bivariate copulas
- Subexponential distributions and integrated tails
- How to build aggregation operators from data
- MONOTONE APPROXIMATION OF AGGREGATION OPERATORS USING LEAST SQUARES SPLINES
- FITTING GENERATED AGGREGATION OPERATORS TO EMPIRICAL DATA
- ARCHIMEDEAN COPULAS AND TEMPORAL DEPENDENCE
- On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
- Extreme behaviour for bivariate elliptical distributions
- Examples for the coefficient of tail dependence and the domain of attraction of a bivariate extreme value distribution
- Comments on: Inference in multivariate Archimedean copula models
This page was built for publication: On tail dependence coefficients of transformed multivariate Archimedean copulas
