scientific article; zbMATH DE number 6458325
zbMATH Open1316.62070MaRDI QIDQ5262079FDOQ5262079
Marius Hofert, Alexander J. McNeil, Martin Mächler
Publication date: 13 July 2015
Full work available at URL: http://journal-sfds.fr/article/view/154/
Title of this publication is not available (Why is that?)
parameter estimationKendall's tauArchimedean copulasminimum distance estimatorsBlomqvist's betaquantitative risk management(diagonal/simulated) maximum-likelihood estimation
Point estimation (62F10) Multivariate analysis (62H99) Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20)
Cited In (14)
- Quasi-random numbers for copula models
- Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation
- Construction and sampling of Archimedean and nested Archimedean Lévy copulas
- Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation
- Hierarchical Archimax copulas
- Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions
- Improved Fréchet-Hoeffding bounds on \(d\)-copulas and applications in model-free finance
- Copulas, diagonals, and tail dependence
- A class of multivariate copulas based on products of bivariate copulas
- Pair programming with ChatGPT for sampling and estimation of copulas
- On structure, family and parameter estimation of hierarchical Archimedean copulas
- Lifetime dependence models generated by multiply monotone functions
- Simulation methods for robust risk assessment and the distorted mix approach
- Estimating Archimedean copulas in high dimensions
Uses Software
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