Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs
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Publication:829708
DOI10.1016/J.CSDA.2020.107071OpenAlexW3083420428MaRDI QIDQ829708FDOQ829708
Authors: Ihsan Chaoubi, Hélène Cossette, C. Y. Robert, É. Marceau 
Publication date: 6 May 2021
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2020.107071
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Archimedean copulasasymmetric pair-copulasblock-exchangeabilitycomposite likelihood estimationhierarchical copulaspartitioning around mdoids
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Cited In (9)
- Sampling from hierarchical Kendall copulas
- Constructing hierarchical archimedean copulas with Lévy subordinators
- Hierarchical Archimax copulas
- Hierarchical Kendall copulas: properties and inference
- Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions
- A new method to construct high-dimensional copulas with Bernoulli and Coxian-2 distributions
- Properties of hierarchical Archimedean copulas
- Hierarchical Archimedean copulas through multivariate compound distributions
- On the structure and estimation of hierarchical Archimedean copulas
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