Sampling from hierarchical Kendall copulas

zbMATH Open1316.62015MaRDI QIDQ5262091FDOQ5262091

Authors: Eike Christian Brechmann 

Publication date: 13 July 2015

Full work available at URL: http://journal-sfds.fr/article/view/164/

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zbMATH Keywords

Kendall distribution functionhierarchical copulascopula level setsample reorderingsampling copulas

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Estimation in multivariate analysis (62H12)

Cited In (6)

• Title not available (Why is that?)
• Hierarchical Kendall copulas: properties and inference
• Kendall's tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas
• On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
• Clustering of financial time series in risky scenarios
• Singularity aspects of Archimedean copulas

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