Densities of nested Archimedean copulas

DOI10.1016/j.jmva.2013.03.006zbMath1277.62138arXiv1204.2410OpenAlexW2031320937MaRDI QIDQ391619

David N. Pham, Marius Hofert

Publication date: 10 January 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.2410

zbMATH Keywords

generator derivativeslikelihood-based inference

Mathematics Subject Classification ID

Related Items (18)

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Uses Software

• nacopula

Cites Work

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• Goodness-of-fit tests for copulas: A review and a power study
• Likelihood inference for Archimedean copulas in high dimensions under known margins
• Efficiently sampling nested Archimedean copulas
• Exponential polynomials, Stirling numbers, and evaluation of some gamma integrals
• Combinatorics of partial derivatives
• Sampling nested Archimedean copulas
• Combinatorial Methods in Discrete Distributions
• Families of Multivariate Distributions
• A stochastic representation and sampling algorithm for nested Archimedean copulas
• Prehistory of Faà   di Bruno's Formula

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