Estimating Archimedean copulas in high dimensions
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Publication:2914946
DOI10.1111/J.1467-9469.2012.00803.XzbMATH Open1323.62046OpenAlexW2141668050MaRDI QIDQ2914946FDOQ2914946
Authors: Christian Hering, Ulrich Stadtmüller 
Publication date: 21 September 2012
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9469.2012.00803.x
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Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (23)
- Copula shrinkage and portfolio allocation in ultra-high dimensions
- Fitting high-dimensional copulae to data
- An algorithm for constructing high dimensional distributions from distributions of lower dimension
- Estimation of hierarchical Archimedean copulas as a shortest path problem
- A semiparametric estimation procedure for multi-parameter Archimedean copulas based on the L-moments method
- STATISTICAL INFERENCE FOR COPULAS IN HIGH DIMENSIONS: A SIMULATION STUDY
- Title not available (Why is that?)
- Statistical Inference Procedures for Bivariate Archimedean Copulas
- Distributionally robust fixed interval scheduling on parallel identical machines under uncertain finishing times
- Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions
- Parameter estimation of some Archimedean copulas based on minimum Cramér-von-Mises distance
- GeD spline estimation of multivariate Archimedean copulas
- Computationally efficient Bayesian estimation of high-dimensional Archimedean copulas with discrete and mixed margins
- Penalized marginal likelihood estimation of finite mixtures of Archimedean copulas
- Likelihood inference for Archimedean copulas in high dimensions under known margins
- On convergence and singularity of conditional copulas of multivariate Archimedean copulas, and conditional dependence
- Title not available (Why is that?)
- Title not available (Why is that?)
- Inference on Archimedean copulas using mixtures of Pólya trees
- How to improve the fit of Archimedean copulas by means of transforms
- Archimedean copula estimation and model selection via \(l_1\)-norm symmetric distribution
- Title not available (Why is that?)
- On the structure and estimation of hierarchical Archimedean copulas
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