Hierarchical Archimax copulas
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Publication:1661344
DOI10.1016/J.JMVA.2018.05.001zbMATH Open1418.62223arXiv1707.00517OpenAlexW2804987922MaRDI QIDQ1661344FDOQ1661344
Authors: Marius Hofert, Raphaël Huser, Avinash Prasad 
Publication date: 16 August 2018
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Abstract: The class of Archimax copulas is generalized to hierarchical Archimax copulas in two ways. First, a hierarchical construction of -norm generators is introduced to construct hierarchical stable tail dependence functions which induce a hierarchical structure on Archimax copulas. Second, by itself or additionally, hierarchical frailties are introduced to extend Archimax copulas to hierarchical Archimax copulas in a similar way as nested Archimedean copulas extend Archimedean copulas. Possible extensions to nested Archimax copulas are discussed. Additionally, a general formula for the density and its evaluation of Archimax copulas is introduced.
Full work available at URL: https://arxiv.org/abs/1707.00517
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Probability distributions: general theory (60E05) Exact distribution theory in statistics (62E15) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
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Cited In (15)
- Constructing hierarchical archimedean copulas with Lévy subordinators
- Estimation of hierarchical Archimedean copulas as a shortest path problem
- Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions
- Multivariate Archimax copulas
- Hierarchies of Archimedean copulas
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- Hierarchical Archimedean copulas through multivariate compound distributions
- On the structure and estimation of hierarchical Archimedean copulas
- Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs
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