Hierarchical Archimax copulas

DOI10.1016/j.jmva.2018.05.001zbMath1418.62223arXiv1707.00517OpenAlexW2804987922MaRDI QIDQ1661344

Marius Hofert, Raphaël Huser, Avinash Prasad

Publication date: 16 August 2018

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1707.00517

zbMATH Keywords

nestingArchimax copulashierarchical frailtieshierarchical stable tail dependence functions

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Exact distribution theory in statistics (62E15) Probability distributions: general theory (60E05)

Related Items (4)

Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs ⋮ Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions ⋮ Hypothesis Tests for Structured Rank Correlation Matrices ⋮ Stochastic decomposition for \(\ell_p\)-norm symmetric survival functions on the positive orthant

Uses Software

• nacopula
• copula
• QRM
• copula

Cites Work

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