How to improve the fit of Archimedean copulas by means of transforms
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Publication:452292
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
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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