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- Publisher Website: 10.1016/j.jmva.2009.10.005
- Scopus: eid_2-s2.0-77949658105
- WOS: WOS:000276284600010
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Article: Constructing hierarchical Archimedean copulas with Lévy subordinators
| Title | Constructing hierarchical Archimedean copulas with Lévy subordinators |
|---|---|
| Authors | |
| Keywords | Hierarchical Archimedean copulas Lévy subordinators Sampling algorithm |
| Issue Date | 2010 |
| Citation | Journal of Multivariate Analysis, 2010, v. 101, n. 6, p. 1428-1433 How to Cite? |
| Abstract | A probabilistic interpretation for hierarchical Archimedean copulas based on Lévy subordinators is given. Independent exponential random variables are divided by group-specific Lévy subordinators which are evaluated at a common random time. The resulting random vector has a hierarchical Archimedean survival copula. This approach suggests an efficient sampling algorithm and allows one to easily construct several new parametric families of hierarchical Archimedean copulas. © 2009 Elsevier Inc. All rights reserved. |
| Persistent Identifier | http://hdl.handle.net/10722/325195 |
| ISSN | 2023 Impact Factor: 1.4 2023 SCImago Journal Rankings: 0.837 |
| ISI Accession Number ID |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Hering, Christian | - |
| dc.contributor.author | Hofert, Marius | - |
| dc.contributor.author | Mai, Jan Frederik | - |
| dc.contributor.author | Scherer, Matthias | - |
| dc.date.accessioned | 2023-02-27T07:30:30Z | - |
| dc.date.available | 2023-02-27T07:30:30Z | - |
| dc.date.issued | 2010 | - |
| dc.identifier.citation | Journal of Multivariate Analysis, 2010, v. 101, n. 6, p. 1428-1433 | - |
| dc.identifier.issn | 0047-259X | - |
| dc.identifier.uri | http://hdl.handle.net/10722/325195 | - |
| dc.description.abstract | A probabilistic interpretation for hierarchical Archimedean copulas based on Lévy subordinators is given. Independent exponential random variables are divided by group-specific Lévy subordinators which are evaluated at a common random time. The resulting random vector has a hierarchical Archimedean survival copula. This approach suggests an efficient sampling algorithm and allows one to easily construct several new parametric families of hierarchical Archimedean copulas. © 2009 Elsevier Inc. All rights reserved. | - |
| dc.language | eng | - |
| dc.relation.ispartof | Journal of Multivariate Analysis | - |
| dc.subject | Hierarchical Archimedean copulas | - |
| dc.subject | Lévy subordinators | - |
| dc.subject | Sampling algorithm | - |
| dc.title | Constructing hierarchical Archimedean copulas with Lévy subordinators | - |
| dc.type | Article | - |
| dc.description.nature | link_to_subscribed_fulltext | - |
| dc.identifier.doi | 10.1016/j.jmva.2009.10.005 | - |
| dc.identifier.scopus | eid_2-s2.0-77949658105 | - |
| dc.identifier.volume | 101 | - |
| dc.identifier.issue | 6 | - |
| dc.identifier.spage | 1428 | - |
| dc.identifier.epage | 1433 | - |
| dc.identifier.eissn | 1095-7243 | - |
| dc.identifier.isi | WOS:000276284600010 | - |