Sampling from hierarchical Kendall copulas

MaRDI QIDQ5262091zbMATH OpenFDO

Authors Eike Christian Brechmann

Publication date 13 July 2015

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

zbMATH Keywords

Kendall distribution functionhierarchical copulascopula level setsample reorderingsampling copulas

Mathematics Subject Classification ID

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

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Cited in

(6)

• scientific article; zbMATH DE number 7698718 (Why is no real title available?)
• 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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