Convergence of Archimedean copulas

DOI10.1016/J.SPL.2007.07.014zbMath1139.62303OpenAlexW2163020473MaRDI QIDQ2479336

Johan Segers, Arthur Charpentier

Publication date: 26 March 2008

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

Full work available at URL: https://doi.org/10.1016/j.spl.2007.07.014

zbMATH Keywords

generatorKendall distribution function

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (15)

Lorenz-generated bivariate Archimedean copulas ⋮ Kendall's tau and Spearman's rho forn-dimensional Archimedean copulas and their asymptotic properties ⋮ Lower tail dependence for Archimedean copulas: characterizations and pitfalls ⋮ A concept of copula robustness and its applications in quantitative risk management ⋮ On convergence and mass distributions of multivariate Archimedean copulas and their interplay with the Williamson transform ⋮ Inference on Archimedean copulas using mixtures of Pólya trees ⋮ On convergence and singularity of conditional copulas of multivariate Archimedean copulas, and conditional dependence ⋮ Constructing Archimedean copulas from diagonal sections ⋮ Archimedean copulas in finite and infinite dimensions -- with application to ruin problems ⋮ Singularity aspects of Archimedean copulas ⋮ On weak conditional convergence of bivariate Archimedean and extreme value copulas, and consequences to nonparametric estimation ⋮ Inference in multivariate Archimedean copula models ⋮ Unnamed Item ⋮ On convergence of associative copulas and related results ⋮ On beta-product convolutions

Cites Work

• Unnamed Item
• Lower tail dependence for Archimedean copulas: characterizations and pitfalls
• A probabilistic interpretation of complete monotonicity
• An introduction to copulas. Properties and applications
• Copula convergence theorems for tail events.
• On Kendall's process
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Correlation smile matching for collateralized debt obligation tranches with α-stable distributions and fitted Archimedean copula models
• Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
• Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
• Bivariate Survival Models Induced by Frailties
• Model Selection and Semiparametric Inference for Bivariate Failure-Time Data
• Families of Multivariate Distributions

This page was built for publication: Convergence of Archimedean copulas