Inference in multivariate Archimedean copula models
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Elena Di Bernardino & Didier Rullière, 2017. "A note on upper-patched generators for Archimedean copulas," Post-Print hal-01347869, HAL.
- Segers, Johan & Uyttendaele, Nathan, 2014. "Nonparametric estimation of the tree structure of a nested Archimedean copula," Computational Statistics & Data Analysis, Elsevier, vol. 72(C), pages 190-204.
- Yeting Du & Johanna Nešlehová, 2013. "A moment-based test for extreme-value dependence," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(5), pages 673-695, July.
- Elena Di Bernardino & Didier Rullière, 2016. "A note on upper-patched generators for Archimedean copulas," Working Papers hal-01347869, HAL.
- repec:gam:jecnmx:v:5:y:2017:i:2:p:26-:d:101602 is not listed on IDEAS
- Di Bernardino Elena & Rullière Didier, 2013.
"On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators,"
De Gruyter Open, vol. 1, pages 1-36, October.
- Elena Di Bernardino & Didier Rullière, 2013. "On certain transformation of Archimedean copulas: Application to the non-parametric estimation of their generators," Post-Print hal-00834000, HAL.
- repec:spr:stmapp:v:26:y:2017:i:3:d:10.1007_s10260-016-0375-6 is not listed on IDEAS
- Elena Di Bernardino & Didier Rullière, 2016. "On tail dependence coefficients of transformed multivariate Archimedean copulas," Post-Print hal-00992707, HAL.
- Bücher, Axel & Dette, Holger & Volgushev, Stanislav, 2012. "A test for Archimedeanity in bivariate copula models," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 121-132.
- Elena Di Bernardino & Didier Rullière, 2015. "Estimation of multivariate critical layers: Applications to rainfall data," Post-Print hal-00940089, HAL.
- Chun, Hyonho & Lee, Myung Hee & Fleet, James C. & Oh, Ji Hwan, 2016. "Graphical models via joint quantile regression with component selection," Journal of Multivariate Analysis, Elsevier, vol. 152(C), pages 162-171.
- Quessy, Jean-François & Bahraoui, Tarik, 2014. "Weak convergence of empirical and bootstrapped C-power processes and application to copula goodness-of-fit," Journal of Multivariate Analysis, Elsevier, vol. 129(C), pages 16-36.
- Patton, Andrew J., 2012. "A review of copula models for economic time series," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 4-18.
More about this item
KeywordsArchimedean copula; Consistency; Frailty; Kendall distribution; Probability integral transform; Radial distribution; Simplex distribution; Weak convergence; 62G05; 62G20; 62H12; 62H20;
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