Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs

DOI10.1016/j.csda.2020.107071OpenAlexW3083420428MaRDI QIDQ829708

Christian Y. Robert, Ihsan Chaoubi, Hélène Cossette, Étienne Marceau

Publication date: 6 May 2021

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2020.107071

zbMATH Keywords

Archimedean copulasasymmetric pair-copulasblock-exchangeabilitycomposite likelihood estimationhierarchical copulaspartitioning around mdoids

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

A new method to construct high-dimensional copulas with Bernoulli and Coxian-2 distributions

Uses Software

• QRM
• CopulaModel

Cites Work

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