Hierarchical Kendall copulas: properties and inference
From MaRDI portal
(Redirected from Publication:5413640)
Abstract: While there is substantial need for dependence models in higher dimensions, most existing models quickly become rather restrictive and barely balance parsimony and flexibility. Hierarchical constructions may improve on that by grouping variables in different levels. In this paper, the new class of hierarchical Kendall copulas is proposed and discussed. Hierarchical Kendall copulas are built up by flexible copulas specified for groups of variables, where aggregation is facilitated by the Kendall distribution function, the multivariate analog to the probability integral transform for univariate random variables. After deriving properties of the general model formulation, particular focus is given to inference techniques of hierarchical Kendall copulas with Archimedean components, for which closed-form analytical expressions can be derived. A substantive application to German stock returns finally shows that hierarchical Kendall copulas perform very well for real data, out-of- as well as in-sample.
Recommendations
Cites work
- Bivariate Contours of Copula
- CDO pricing with nested Archimedean copulas
- Copula based hierarchical risk aggregation through sample reordering
- Densities of nested Archimedean copulas
- Efficiently sampling nested Archimedean copulas
- Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
- Hierarchies of Archimedean copulas
- scientific article; zbMATH DE number 5080942 (Why is no real title available?)
- scientific article; zbMATH DE number 3954145 (Why is no real title available?)
- scientific article; zbMATH DE number 45785 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- Inference in multivariate Archimedean copula models
- Kendall distribution functions.
- Likelihood inference for Archimedean copulas in high dimensions under known margins
- Maximum likelihood and the bootstrap for nonlinear dynamic models
- Measuring association and dependence between random vectors
- Model Selection and Semiparametric Inference for Bivariate Failure-Time Data
- Modeling defaults with nested Archimedean copulas
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- On Kendall's process
- On the construction of multivariate distributions with given nonoverlapping multivariate marginals
- On the multivariate probability integral transformation
- On the structure and estimation of hierarchical Archimedean copulas
- Pair-copula constructions of multiple dependence
- Selecting and estimating regular vine copulae and application to financial returns
- Simulating from Exchangeable Archimedean Copulas
- Statistical Inference Procedures for Bivariate Archimedean Copulas
- The Stationary Bootstrap
- The theory and applications of statistical inference functions
- Truncated regular vines in high dimensions with application to financial data
Cited in
(27)- Hierarchical Archimedean copulas through multivariate compound distributions
- Kendall's tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas
- Multivariate models for dependent clusters of variables with conditional independence given aggregation variables
- Detection of block-exchangeable structure in large-scale correlation matrices
- A framework for measuring association of random vectors via collapsed random variables
- Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions
- Investigating the correlation structure of quadrivariate udder infection times through hierarchical Archimedean copulas
- Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models
- Structured factor copula models: theory, inference and computation
- Copula based hierarchical risk aggregation through sample reordering
- Clustering of time series via non-parametric tail dependence estimation
- Vector copulas
- Estimators based on Kendall's tau in multivariate copula models
- Hierarchies of Archimedean copulas
- A note on upper-patched generators for Archimedean copulas
- Modelling hierarchical clustered censored data with the hierarchical Kendall copula
- Multivariate dependence modeling based on comonotonic factors
- On a construction of multivariate distributions given some multidimensional marginals
- On some properties of two vector-valued VaR and CTE multivariate risk measures for Archimedean copulas
- Sampling from hierarchical Kendall copulas
- Multivariate hierarchical copulas with shocks
- A multivariate quantile based on Kendall ordering
- Hypothesis Tests for Structured Rank Correlation Matrices
- Copula modeling from Abe Sklar to the present day
- Predictive and sensitive analysis of a bivariate skewed spatial process based on the Bayesian framework
- Copulae: an overview and recent developments
- On an asymmetric extension of multivariate Archimedean copulas based on quadratic form
This page was built for publication: Hierarchical Kendall copulas: properties and inference
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5413640)
