Archimedean copula estimation and model selection via l₁-norm symmetric distribution

DOI10.1016/J.INSMATHECO.2009.12.006zbMATH Open1231.91489OpenAlexW2094627450MaRDI QIDQ659243FDOQ659243

Xiaomei Qu, Jie Zhou, Xiaojing Shen

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.12.006

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zbMATH Keywords

Archimedean copularadial distribution\(l_{1}\)-norm symmetric distributionArchimedean generator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Statistical methods; economic indices and measures (91B82) Statistical methods; risk measures (91G70)

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Cited In (2)

• Inference in multivariate Archimedean copula models
• Unsupervised data classification using pairwise Markov chains with automatic copulas selection

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