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- Publisher Website: 10.1007/s11009-009-9134-6
- Scopus: eid_2-s2.0-77957311621
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Article: Multivariate Hierarchical Copulas with Shocks
Title | Multivariate Hierarchical Copulas with Shocks |
---|---|
Authors | |
Keywords | Copula Hierarchical structure Marshall-Olkin distribution Shock model Singular component |
Issue Date | 2010 |
Citation | Methodology and Computing in Applied Probability, 2010, v. 12, n. 4, p. 681-694 How to Cite? |
Abstract | A transformation to obtain new multivariate hierarchical copulas, starting with an arbitrary copula, is introduced. In addition to the hierarchical structure, the presented construction principle explicitly supports singular components. These may be interpreted as the effect of local or global shocks to the underlying random variables. A large spectrum of dependence patterns can be achieved by the presented transformation, which seems promising for practical applications. Moreover, copulas arising from this construction are similarly admissible with respect to analytical tractability and sampling routines as the original copula. Finally, several well-known families of copulas may be interpreted as special cases. © 2009 Springer Science+Business Media, LLC. |
Persistent Identifier | http://hdl.handle.net/10722/325206 |
ISSN | 2023 Impact Factor: 1.0 2023 SCImago Journal Rankings: 0.430 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Durante, Fabrizio | - |
dc.contributor.author | Hofert, Marius | - |
dc.contributor.author | Scherer, Matthias | - |
dc.date.accessioned | 2023-02-27T07:30:35Z | - |
dc.date.available | 2023-02-27T07:30:35Z | - |
dc.date.issued | 2010 | - |
dc.identifier.citation | Methodology and Computing in Applied Probability, 2010, v. 12, n. 4, p. 681-694 | - |
dc.identifier.issn | 1387-5841 | - |
dc.identifier.uri | http://hdl.handle.net/10722/325206 | - |
dc.description.abstract | A transformation to obtain new multivariate hierarchical copulas, starting with an arbitrary copula, is introduced. In addition to the hierarchical structure, the presented construction principle explicitly supports singular components. These may be interpreted as the effect of local or global shocks to the underlying random variables. A large spectrum of dependence patterns can be achieved by the presented transformation, which seems promising for practical applications. Moreover, copulas arising from this construction are similarly admissible with respect to analytical tractability and sampling routines as the original copula. Finally, several well-known families of copulas may be interpreted as special cases. © 2009 Springer Science+Business Media, LLC. | - |
dc.language | eng | - |
dc.relation.ispartof | Methodology and Computing in Applied Probability | - |
dc.subject | Copula | - |
dc.subject | Hierarchical structure | - |
dc.subject | Marshall-Olkin distribution | - |
dc.subject | Shock model | - |
dc.subject | Singular component | - |
dc.title | Multivariate Hierarchical Copulas with Shocks | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1007/s11009-009-9134-6 | - |
dc.identifier.scopus | eid_2-s2.0-77957311621 | - |
dc.identifier.volume | 12 | - |
dc.identifier.issue | 4 | - |
dc.identifier.spage | 681 | - |
dc.identifier.epage | 694 | - |
dc.identifier.eissn | 1573-7713 | - |
dc.identifier.isi | WOS:000283614400010 | - |