How to improve the fit of Archimedean copulas by means of transforms

DOI10.1007/S00362-010-0341-6zbMath1440.62188OpenAlexW2019344916MaRDI QIDQ452292

Ann De Schepper, Frederik Michiels

Publication date: 20 September 2012

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-010-0341-6

zbMATH Keywords

copulaKendall's tauArchimedean copulatransformtail dependence coefficient

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32) Stochastic integral equations (60H20)

Related Items (10)

A new method to build spatio-temporal covariance functions: analysis of ozone data ⋮ A goodness-of fit improvement based on τ-preserving transformation for semiparametric family of copulas ⋮ A goodness-of-fit test based on Bézier curve estimation of Kendall distribution ⋮ On tail dependence coefficients of transformed multivariate Archimedean copulas ⋮ On Generators in Archimedean Copulas ⋮ Additive generators of copulas ⋮ On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators ⋮ Transformation of a copula using the associated co-copula ⋮ A Compendium of Copulas ⋮ Solution to an open problem about a transformation on the space of copulas

Cites Work

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• Goodness-of-fit tests for copulas: A review and a power study
• An introduction to copulas.
• A New Method for the Construction of Bivariate Archimedean Copulas Based on the λ Function
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Archimedean copulae for risk measurement

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