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Hierarchical Archimax copulas

Published:2018-09 Issue: Volume:167 Page:195-211
ISSN:0047-259X
Container-title:Journal of Multivariate Analysis
language:en
Short-container-title:Journal of Multivariate Analysis

Author:

Hofert Marius^ORCID,Huser Raphaël^ORCID,Prasad Avinash

Funder

NSERC

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Numerical Analysis,Statistics and Probability

Reference43 articles.

1. The space of d-norms revisited;Aulbach;Extremes,2015

2. Statistics of Extremes: Theory and Applications;Beirlant,2004

3. L. Belzile, J.L. Wadsworth, P.J. Northrop, S.D. Grimshaw, R. Huser, mev: Multivariate Extreme Value Distributions, R package version 1.10, 2017.

4. Sur les fonctions absolument monotones;Bernstein;Acta Math.,1928

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

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1. Pair programming with ChatGPT for sampling and estimation of copulas;Computational Statistics;2023-12-01

2. Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions;Journal of Statistical Computation and Simulation;2023-02-21

3. Hypothesis Tests for Structured Rank Correlation Matrices;Journal of the American Statistical Association;2022-07-22

4. On a Rosenblatt-type transformation of multivariate copulas;Econometrics and Statistics;2021-11

5. Stochastic decomposition for ℓp-norm symmetric survival functions on the positive orthant;Journal of Multivariate Analysis;2021-07

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