On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
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Publication:5417587
DOI10.2478/demo-2013-0001zbMath1287.62005OpenAlexW2013937502MaRDI QIDQ5417587
Elena Di Bernardino, Didier Rullière
Publication date: 21 May 2014
Published in: Dependence Modeling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2478/demo-2013-0001
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Related Items (12)
A note on upper-patched generators for Archimedean copulas ⋮ Marshall-Olkin type copulas generated by a global shock ⋮ On tail dependence coefficients of transformed multivariate Archimedean copulas ⋮ On the estimation of Pareto fronts from the point of view of copula theory ⋮ Constructions of copulas with given diagonal (and opposite diagonal) sections and some generalizations ⋮ Copulas, diagonals, and tail dependence ⋮ Estimation of multivariate conditional-tail-expectation using Kendall's process ⋮ On an asymmetric extension of multivariate Archimedean copulas based on quadratic form ⋮ Transformation of a copula using the associated co-copula ⋮ New families of bivariate copulas via unit Weibull distortion ⋮ A Bayesian semiparametric Archimedean copula ⋮ Solution to an open problem about a transformation on the space of copulas
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Cites Work
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