Comments on: Inference in multivariate Archimedean copula models

DOI10.1007/s11749-011-0252-4zbMath1367.62163OpenAlexW2069645485MaRDI QIDQ5970326

Paul Embrechts, Marius Hofert

Publication date: 15 November 2012

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11749-011-0252-4

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (5)

Measuring the subprime crisis contagion: evidence of change point analysis of copula functions ⋮ Inference on Archimedean copulas using mixtures of Pólya trees ⋮ On tail dependence coefficients of transformed multivariate Archimedean copulas ⋮ Likelihood inference for Archimedean copulas in high dimensions under known margins ⋮ On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators

Uses Software

• nacopula

Cites Work

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• Inference in multivariate Archimedean copula models
• The frailty model.
• CDO pricing with nested Archimedean copulas
• Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
• Goodness-of-fit tests for parametric families of Archimedean copulas
• Sampling nested Archimedean copulas
• Families of Multivariate Distributions
• Simulating from Exchangeable Archimedean Copulas
• Remarks on a Multivariate Transformation

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