On the construction of nested Archimedean copulas for \(d\)-monotone generators

DOI10.1016/j.spl.2015.03.001zbMath1328.62316OpenAlexW2008383133MaRDI QIDQ893902

Mohsen Rezapour

Publication date: 23 November 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2015.03.001

zbMATH Keywords

generator derivativeslikelihood-based inference\(d\)-monotonenested Archimedean copulaWilliamson \(d\)-transforms

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Probability distributions: general theory (60E05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (8)

Kendall's tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas ⋮ Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation ⋮ On the estimation of nested Archimedean copulas: a theoretical and an experimental comparison ⋮ Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case ⋮ Copulas, stable tail dependence functions, and multivariate monotonicity ⋮ On structure, family and parameter estimation of hierarchical Archimedean copulas ⋮ Penalized estimation of hierarchical Archimedean copula ⋮ On properties of progressively Type-II censored conditionally N-ordered statistics arising from a non-identical and dependent random vector

Cites Work

• Unnamed Item
• Unnamed Item
• Goodness-of-fit tests for copulas: A review and a power study
• Densities of nested Archimedean copulas
• Goodness-of-fit tests for copulas
• Multiply monotone functions and their Laplace transforms
• An introduction to copulas.
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Stochastic comparison of lifetimes of two \((n - k + 1)\)-out-of-\(n\) systems with heterogeneous dependent components
• On the joint asymptotic behavior of two rank-based estimators of the association parameter in the gamma frailty model
• Multivariate Aging with Archimedean Dependence Structures in High Dimensions
• Sampling nested Archimedean copulas
• Families of Multivariate Distributions
• A stochastic representation and sampling algorithm for nested Archimedean copulas
• Prehistory of Faà   di Bruno's Formula

This page was built for publication: On the construction of nested Archimedean copulas for \(d\)-monotone generators