Archimedean copula estimation and model selection via \(l_1\)-norm symmetric distribution

DOI10.1016/j.insmatheco.2009.12.006zbMath1231.91489OpenAlexW2094627450MaRDI QIDQ659243

Xiaomei Qu, Jie Zhou, Xiaojing Shen

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.12.006

zbMATH Keywords

Archimedean copularadial distribution\(l_{1}\)-norm symmetric distributionArchimedean generator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistical methods; economic indices and measures (91B82)

Related Items (2)

Inference in multivariate Archimedean copula models ⋮ Unsupervised data classification using pairwise Markov chains with automatic copulas selection

Cites Work

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• What is the Laplace Transform?

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