Inference for Archimax copulas
DOI10.1214/19-AOS1836zbMATH Open1450.62046OpenAlexW3032483209MaRDI QIDQ2196206FDOQ2196206
Authors: Simon Chatelain, Anne-Laure Fougeres, Johanna Nešlehová 
Publication date: 28 August 2020
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aos/1590480044
Recommendations
Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Applications of statistics to environmental and related topics (62P12)
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Cited In (18)
- Hierarchical Archimax copulas
- Estimation of hierarchical Archimedean copulas as a shortest path problem
- Inference in multivariate Archimedean copula models
- Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions
- Multivariate Archimax copulas
- Copulae: an overview and recent developments
- Archimax copulas and invariance under transformations
- About the exact simulation of bivariate (reciprocal) Archimax copulas
- Stochastic decomposition for \(\ell_p\)-norm symmetric survival functions on the positive orthant
- When a copula is Archimax
- On the class of bivariate Archimax copulas under constraints
- R package to handle Archimax or any user-defined continuous copula construction: \texttt{acopula}
- Comments on: Inference in multivariate Archimedean copula models
- Title not available (Why is that?)
- Inference on Archimedean copulas using mixtures of Pólya trees
- Comments on: Inference in multivariate Archimedean copula models
- Comments on: Inference in multivariate Archimedean copula models
- Estimating Archimedean copulas in high dimensions
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