How to improve the fit of Archimedean copulas by means of transforms

DOI10.1007/s00362-010-0341-6zbMath1440.62188MaRDI QIDQ452292

Ann De Schepper, Frederik Michiels

Publication date: 20 September 2012

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-010-0341-6

zbMATH Keywords

copula; Kendall's tau; Archimedean copula; transform; tail dependence coefficient

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62H05: Characterization and structure theory for multivariate probability distributions; copulas

62G32: Statistics of extreme values; tail inference

60H20: Stochastic integral equations

Related Items

A goodness-of-fit test based on Bézier curve estimation of Kendall distribution, A Compendium of Copulas, On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators, A goodness-of fit improvement based on τ-preserving transformation for semiparametric family of copulas, A new method to build spatio-temporal covariance functions: analysis of ozone data, Additive generators of copulas, On tail dependence coefficients of transformed multivariate Archimedean copulas, Transformation of a copula using the associated co-copula, Solution to an open problem about a transformation on the space of copulas, On Generators in Archimedean Copulas

Cites Work

• Goodness-of-fit tests for copulas: A review and a power study
• An introduction to copulas.
• A New Method for the Construction of Bivariate Archimedean Copulas Based on the λ Function
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Archimedean copulae for risk measurement
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