A note on upper-patched generators for Archimedean copulas

DOI10.1051/PS/2017003MaRDI QIDQ4578048zbMATH OpenOpenAlexFDO

Authors Elena Di Bernardino, Didier Rullière

Publication date 7 August 2018

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1051/ps/2017003

zbMATH Keywords

Archimedean copulasdistortionslikelihoodtail dependence coefficientstransformations

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Asymptotic distribution theory in statistics (62E20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cites work

• A method to obtain new copulas from a given one
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• An introduction to copulas. Properties and applications
• Archimedean copula estimation using Bayesian splines smoothing techniques
• Comparison of semiparametric and parametric methods for estimating copulas
• Copulas, diagonals, and tail dependence
• Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory
• Extreme value theory. An introduction.
• GeD spline estimation of multivariate Archimedean copulas
• Gluing copulas
• Hierarchical Kendall copulas: properties and inference
• scientific article; zbMATH DE number 43570 (Why is no real title available?)
• scientific article; zbMATH DE number 6458392 (Why is no real title available?)
• Inference in multivariate Archimedean copula models
• Lower tail dependence for Archimedean copulas: characterizations and pitfalls
• Modeling defaults with nested Archimedean copulas
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity
• Non-parametric Estimation of Tail Dependence
• On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
• On multivariate extensions of value-at-risk
• On tail dependence coefficients of transformed multivariate Archimedean copulas
• On the distortion of a copula and its margins
• On the estimation of Pareto fronts from the point of view of copula theory
• Orthant tail dependence of multivariate extreme value distributions
• Sampling Archimedean copulas
• Sampling nested Archimedean copulas
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Tail dependence from a distributional point of view
• Tails of multivariate Archimedean copulas
• The multivariate piecing-together approach revisited
• Transformations of copulas.
• Upper comonotonicity

Cited in

(6)

• On Generators in Archimedean Copulas
• On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
• Multivariate tail dependence: further insights with an application to the Spanish banking sector
• Lorenz-generated bivariate Archimedean copulas
• Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation
• On the construction of nested Archimedean copulas for \(d\)-monotone generators

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