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

DOI10.1016/J.SPL.2015.03.001MaRDI QIDQ893902zbMATH OpenOpenAlexFDO

Authors 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

likelihood-based inferencegenerator derivatives\(d\)-monotonenested Archimedean copulaWilliamson \(d\)-transforms

Mathematics Subject Classification ID

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

Recommendations

• Integral generators of Archimedean \(n\)-copulas
• On Generators in Archimedean Copulas
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• A note on upper-patched generators for Archimedean copulas
• Densities of nested Archimedean copulas
• Characterizations of Archimedean \(n\)-copulas.
• On a generalization of Archimedean copula family
• Proving the characterization of Archimedean copulas via Dini derivatives.
• Construction and sampling of Archimedean and nested Archimedean Lévy copulas
• A generalization of the Archimedean class of bivariate copulas

Cites work

• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• scientific article; zbMATH DE number 3255204 (Why is no real title available?)
• A stochastic representation and sampling algorithm for nested Archimedean copulas
• An introduction to copulas.
• Densities of nested Archimedean copulas
• Families of Multivariate Distributions
• Goodness-of-fit tests for copulas
• Goodness-of-fit tests for copulas: A review and a power study
• Multiply monotone functions and their Laplace transforms
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Multivariate aging with Archimedean dependence structures in high dimensions
• On the joint asymptotic behavior of two rank-based estimators of the association parameter in the gamma frailty model
• Prehistory of Faà   di Bruno's Formula
• Sampling nested Archimedean copulas
• Stochastic comparison of lifetimes of two \((n - k + 1)\)-out-of-\(n\) systems with heterogeneous dependent components

Cited in

(9)

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

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

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q893902)