scientific article; zbMATH DE number 6458325

MaRDI QIDQ5262079zbMATH OpenFDO

Authors Marius Hofert, Alexander J. McNeil, Martin Mächler

Publication date 13 July 2015

Full work available at URL http://journal-sfds.fr/article/view/154/

zbMATH Keywords

parameter estimationKendall's tauArchimedean copulasminimum distance estimatorsBlomqvist's betaquantitative risk management(diagonal/simulated) maximum-likelihood estimation

Mathematics Subject Classification ID

Point estimation (62F10) Multivariate analysis (62H99) Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cited in

(16)

• 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
• Hierarchical Archimax copulas
• Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation
• 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
• Likelihood inference for Archimedean copulas in high dimensions under known margins
• R package to handle Archimax or any user-defined continuous copula construction: \texttt{acopula}
• 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

Describes a project that uses

Uses Software

• copula
• R

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