Hierarchical Archimax copulas
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Publication:1661344
DOI10.1016/j.jmva.2018.05.001zbMath1418.62223arXiv1707.00517MaRDI QIDQ1661344
Marius Hofert, Raphaël Huser, Avinash Prasad
Publication date: 16 August 2018
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1707.00517
62H05: Characterization and structure theory for multivariate probability distributions; copulas
62E15: Exact distribution theory in statistics
60E05: Probability distributions: general theory
Related Items
Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions, Hypothesis Tests for Structured Rank Correlation Matrices, Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs, Stochastic decomposition for \(\ell_p\)-norm symmetric survival functions on the positive orthant
Uses Software
Cites Work
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