Properties of hierarchical Archimedean copulas
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Publication:4918190
DOI10.1524/strm.2013.1071zbMath1348.62044OpenAlexW2151493409MaRDI QIDQ4918190
Yarema Okhrin, Wolfgang Schmid, Ostap Okhrin
Publication date: 23 April 2013
Published in: Statistics & Risk Modeling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1524/strm.2013.1071
Measures of association (correlation, canonical correlation, etc.) (62H20) Exact distribution theory in statistics (62E15) Probability distributions: general theory (60E05)
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Uses Software
Cites Work
- Nonparametric inference on multivariate versions of Blomqvist's beta and related measures of tail dependence
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- A characterization of Gumbel's family of extreme value distributions
- Tails of multivariate Archimedean copulas
- Sampling Archimedean copulas
- A probabilistic interpretation of complete monotonicity
- Dependence and order in families of Archimedean copulas
- On Kendall's process
- Sampling nested Archimedean copulas
- Model Selection and Semiparametric Inference for Bivariate Failure-Time Data
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