How to improve the fit of Archimedean copulas by means of transforms
DOI10.1007/S00362-010-0341-6zbMATH Open1440.62188OpenAlexW2019344916MaRDI QIDQ452292FDOQ452292
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
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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)
Cites Work
- Goodness-of-fit tests for copulas: A review and a power study
- An introduction to copulas.
- Statistical Inference Procedures for Bivariate Archimedean Copulas
- Title not available (Why is that?)
- A New Method for the Construction of Bivariate Archimedean Copulas Based on the λ Function
- Title not available (Why is that?)
- Archimedean copulae for risk measurement
Cited In (10)
- On Generators in Archimedean Copulas
- A goodness-of-fit test based on Bézier curve estimation of Kendall distribution
- Transformation of a copula using the associated co-copula
- On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
- 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 new method to build spatio-temporal covariance functions: analysis of ozone data
- On tail dependence coefficients of transformed multivariate Archimedean copulas
- A Compendium of Copulas
- Additive generators of copulas
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