Inference in multivariate Archimedean copula models
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Volume (Year): 20 (2011)
Issue (Month): 2 (August)
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- Dimitrova, Dimitrina S. & Kaishev, Vladimir K. & Penev, Spiridon I., 2008. "GeD spline estimation of multivariate Archimedean copulas," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3570-3582, March.
- McNeil, Alexander J. & Neslehová, Johanna, 2010. "From Archimedean to Liouville copulas," Journal of Multivariate Analysis, Elsevier, vol. 101(8), pages 1772-1790, September.
- Charpentier, Arthur & Segers, Johan, 2008. "Convergence of Archimedean copulas," Statistics & Probability Letters, Elsevier, vol. 78(4), pages 412-419, March.
- Cornelia Savu & Mark Trede, 2008. "Goodness-of-fit tests for parametric families of Archimedean copulas," Quantitative Finance, Taylor & Francis Journals, vol. 8(2), pages 109-116.
- Marco Scarsini & Alfred Muller, 2005.
"Archimedean copulae and positive dependence,"
- Kim, Gunky & Silvapulle, Mervyn J. & Silvapulle, Paramsothy, 2007. "Comparison of semiparametric and parametric methods for estimating copulas," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 2836-2850, March.
- Nelsen, Roger B. & Quesada-Molina, José Juan & Rodríguez-Lallena, José Antonio & Úbeda-Flores, Manuel, 2003. "Kendall distribution functions," Statistics & Probability Letters, Elsevier, vol. 65(3), pages 263-268, November.
- Genest, Christian & Rivest, Louis-Paul, 2001. "On the multivariate probability integral transformation," Statistics & Probability Letters, Elsevier, vol. 53(4), pages 391-399, July.
- Lambert, Philippe, 2007. "Archimedean copula estimation using Bayesian splines smoothing techniques," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6307-6320, August.
- Wei, Gang & Hu, Taizhong, 2002. "Supermodular dependence ordering on a class of multivariate copulas," Statistics & Probability Letters, Elsevier, vol. 57(4), pages 375-385, May.
- Christian Genest & Jean-François Quessy & Bruno Rémillard, 2006. "Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(2), pages 337-366.
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