How to improve the fit of Archimedean copulas by means of transforms
DOI10.1007/S00362-010-0341-6zbMATH Open1440.62188OpenAlexW2019344916MaRDI QIDQ452292FDOQ452292
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
Recommendations
- On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
- Archimax copulas and invariance under transformations
- On tail dependence coefficients of transformed multivariate Archimedean copulas
- Estimating Archimedean copulas in high dimensions
- Goodness-of-fit tests for Archimedean copula models
- Archimedean copulas with applications to VaR estimation
- Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
- Approximations of copulas via transformed moments
- A goodness-of fit improvement based on τ-preserving transformation for semiparametric family of copulas
- On the structure and estimation of hierarchical Archimedean copulas
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 \(\lambda\) function
- A copula test space model how to avoid the wrong copula choice
- Archimedean copulae for risk measurement
Cited In (12)
- On Generators in Archimedean Copulas
- Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation
- A goodness-of-fit test based on Bézier curve estimation of Kendall distribution
- A compendium of copulas
- 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 note on upper-patched generators for Archimedean copulas
- Additive generators of copulas
This page was built for publication: How to improve the fit of Archimedean copulas by means of transforms
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q452292)
