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Outer power transformations of hierarchical Archimedean copulas: Construction, sampling and estimation

  • Published:2021-03 Issue: Volume:155 Page:107109
  • ISSN:0167-9473
  • Container-title:Computational Statistics & Data Analysis
  • language:en
  • Short-container-title:Computational Statistics & Data Analysis

Author:

Górecki Jan,Hofert Marius,Okhrin Ostap

Funder

Support of International Mobility of Researchers at SU

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Statistics and Probability

Reference42 articles.

1. Note on ultrametric hierarchical clustering algorithms;Batagelj;Psychometrika,1981

2. On tail dependence coefficients of transformed multivariate archimedean copulas;Bernardino;Fuzzy Sets and Systems,2016

3. Sur les fonctions absolument monotones;Bernstein;Acta Math.,1929

4. Bivariate distributions with given extreme value distributions;Capéraà;J. Multivariate Anal.,2000

5. Multivariate archimax copulas;Charpentier;J. Multivariate Anal.,2014

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