On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators

DOI10.2478/demo-2013-0001zbMath1287.62005OpenAlexW2013937502MaRDI QIDQ5417587

Elena Di Bernardino, Didier Rullière

Publication date: 21 May 2014

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2478/demo-2013-0001

zbMATH Keywords

estimationtail dependenceself-nested diagonal

Mathematics Subject Classification ID

Related Items (12)

A note on upper-patched generators for Archimedean copulas ⋮ Marshall-Olkin type copulas generated by a global shock ⋮ On tail dependence coefficients of transformed multivariate Archimedean copulas ⋮ On the estimation of Pareto fronts from the point of view of copula theory ⋮ Constructions of copulas with given diagonal (and opposite diagonal) sections and some generalizations ⋮ Copulas, diagonals, and tail dependence ⋮ Estimation of multivariate conditional-tail-expectation using Kendall's process ⋮ On an asymmetric extension of multivariate Archimedean copulas based on quadratic form ⋮ Transformation of a copula using the associated co-copula ⋮ New families of bivariate copulas via unit Weibull distortion ⋮ A Bayesian semiparametric Archimedean copula ⋮ Solution to an open problem about a transformation on the space of copulas

Uses Software

• nacopula
• copula
• copula

Cites Work

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