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- Publisher Website: 10.1016/j.jmva.2018.05.001
- Scopus: eid_2-s2.0-85048830926
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Article: Hierarchical Archimax copulas
Title | Hierarchical Archimax copulas |
---|---|
Authors | |
Keywords | Archimax copulas Hierarchical frailties Hierarchical stable tail dependence functions Nesting |
Issue Date | 2018 |
Citation | Journal of Multivariate Analysis, 2018, v. 167, p. 195-211 How to Cite? |
Abstract | The class of Archimax copulas is generalized to hierarchical Archimax copulas in two ways. First, a hierarchical construction of d-norm generators is introduced to construct hierarchical stable tail dependence functions which induce a hierarchical structure on Archimax copulas. Second, by itself or additionally, hierarchical frailties are introduced to extend Archimax copulas to hierarchical Archimax copulas in a similar way as nested Archimedean copulas extend Archimedean copulas. Possible extensions to nested Archimax copulas are discussed. A general formula for the density and its evaluation of Archimax copulas is also introduced. |
Persistent Identifier | http://hdl.handle.net/10722/325391 |
ISSN | 2023 Impact Factor: 1.4 2023 SCImago Journal Rankings: 0.837 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Hofert, Marius | - |
dc.contributor.author | Huser, Raphaël | - |
dc.contributor.author | Prasad, Avinash | - |
dc.date.accessioned | 2023-02-27T07:32:28Z | - |
dc.date.available | 2023-02-27T07:32:28Z | - |
dc.date.issued | 2018 | - |
dc.identifier.citation | Journal of Multivariate Analysis, 2018, v. 167, p. 195-211 | - |
dc.identifier.issn | 0047-259X | - |
dc.identifier.uri | http://hdl.handle.net/10722/325391 | - |
dc.description.abstract | The class of Archimax copulas is generalized to hierarchical Archimax copulas in two ways. First, a hierarchical construction of d-norm generators is introduced to construct hierarchical stable tail dependence functions which induce a hierarchical structure on Archimax copulas. Second, by itself or additionally, hierarchical frailties are introduced to extend Archimax copulas to hierarchical Archimax copulas in a similar way as nested Archimedean copulas extend Archimedean copulas. Possible extensions to nested Archimax copulas are discussed. A general formula for the density and its evaluation of Archimax copulas is also introduced. | - |
dc.language | eng | - |
dc.relation.ispartof | Journal of Multivariate Analysis | - |
dc.subject | Archimax copulas | - |
dc.subject | Hierarchical frailties | - |
dc.subject | Hierarchical stable tail dependence functions | - |
dc.subject | Nesting | - |
dc.title | Hierarchical Archimax copulas | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/j.jmva.2018.05.001 | - |
dc.identifier.scopus | eid_2-s2.0-85048830926 | - |
dc.identifier.volume | 167 | - |
dc.identifier.spage | 195 | - |
dc.identifier.epage | 211 | - |
dc.identifier.eissn | 1095-7243 | - |
dc.identifier.isi | WOS:000441371100013 | - |