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

DOI10.1007/S00362-010-0341-6MaRDI QIDQ452292zbMATH OpenOpenAlexFDO

Authors Frederik Michiels, Ann De Schepper

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

copulaKendall's tauArchimedean copulatransformtail dependence coefficient

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Stochastic integral equations (60H20)

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Cites work

• scientific article; zbMATH DE number 3738723 (Why is no real title available?)
• A copula test space model how to avoid the wrong copula choice
• A new method for the construction of bivariate Archimedean copulas based on the \(\lambda\) function
• An introduction to copulas.
• Archimedean copulae for risk measurement
• Goodness-of-fit tests for copulas: A review and a power study
• Statistical Inference Procedures for Bivariate Archimedean Copulas

Cited in

(12)

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

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