Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation
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Publication:829744
DOI10.1016/j.csda.2020.107109OpenAlexW3092222605MaRDI QIDQ829744
Ostap Okhrin, Jan Górecki, Marius Hofert
Publication date: 6 May 2021
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2003.13301
samplingestimationvalue at riskArchimedean generatorouter power transformationtail dependence coefficients
Related Items (4)
Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions ⋮ Penalized estimation of hierarchical Archimedean copula ⋮ Copula modeling from Abe Sklar to the present day ⋮ Stochastic decomposition for \(\ell_p\)-norm symmetric survival functions on the positive orthant
Uses Software
Cites Work
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