Properties of hierarchical Archimedean copulas
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Recommendations
- On the structure and estimation of hierarchical Archimedean copulas
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- Hierarchical Archimedean copulas through multivariate compound distributions
- Hierarchies of Archimedean copulas
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- scientific article; zbMATH DE number 5071069
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Cites work
- A characterization of Gumbel's family of extreme value distributions
- A probabilistic interpretation of complete monotonicity
- Dependence and order in families of Archimedean copulas
- Model Selection and Semiparametric Inference for Bivariate Failure-Time Data
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Nonparametric inference on multivariate versions of Blomqvist's beta and related measures of tail dependence
- On Kendall's process
- Sampling Archimedean copulas
- Sampling nested Archimedean copulas
- Tails of multivariate Archimedean copulas
Cited in
(35)- Hierarchical Archimedean copulas through multivariate compound distributions
- Kendall's tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas
- Multinomial choice models based on Archimedean copulas
- Nonparametric estimation of the tree structure of a nested Archimedean copula
- On the estimation of nested Archimedean copulas: a theoretical and an experimental comparison
- Hierarchical Archimax copulas
- Estimation of hierarchical Archimedean copulas as a shortest path problem
- Spatial tail dependence and survival stability in a class of Archimedean copulas
- Modeling the dependence of losses of a financial portfolio using nested Archimedean copulas
- Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions
- Modelling mortality dependence: an application of dynamic vine copula
- The finite sample properties of sparse M-estimators with pseudo-observations
- Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case
- A Bayesian hierarchical copula model
- Penalized marginal likelihood estimation of finite mixtures of Archimedean copulas
- Copula based flexible modeling of associations between clustered event times
- Portfolio optimization for inventory financing: copula-based approaches
- Flexible copula density estimation with penalized hierarchical B-splines
- Fitting high-dimensional copulae to data
- Bayesian Model Averaging Over Tree-based Dependence Structures for Multivariate Extremes
- scientific article; zbMATH DE number 5071069 (Why is no real title available?)
- Hierarchies of Archimedean copulas
- scientific article; zbMATH DE number 1894358 (Why is no real title available?)
- On the structure and estimation of hierarchical Archimedean copulas
- Hierarchical Kendall copulas: properties and inference
- Quantifying the impact of different copulas in a generalized CreditRisk\(^+\) framework. An empirical study
- Multivariate tail dependence and local stochastic dominance
- Penalized estimation of hierarchical Archimedean copula
- Copula modeling from Abe Sklar to the present day
- Copulae: an overview and recent developments
- Modeling portfolio loss dependence using Fréchet distribution and nested Clayton copulas
- A flexible copula model for bivariate survival data with dependent censoring
- Estimation of high-order moment-independent importance measures for Shapley value analysis
- Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation
- Constructing hierarchical archimedean copulas with Lévy subordinators
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