Found 56 Documents (Results 1–56)
Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions. (English) Zbl 07739789
Copulae: an overview and recent developments. (English) Zbl 07910971
MSC:
62-08
A new multivariate quadrature rule for calculating statistical moments of stochastic response. (English) Zbl 1489.65051
MSC:
65D30
Estimation of the association parameters in hierarchically clustered survival data by nested Archimedean copula functions. (English) Zbl 1505.62178
Hierarchical time series clustering on tail dependence with linkage based on a multivariate copula approach. (English) Zbl 1520.62086
A copula transformation in multivariate mixed discrete-continuous models. (English) Zbl 1467.62072
MSC:
62H05
Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation. (English) Zbl 1510.62227
Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs. (English) Zbl 1510.62225
MSC:
62H05
Approximating predictive probabilities of Gibbs-type priors. (English) Zbl 1467.62047
Reviewer: Rózsa Horváth-Bokor (Budakalász)
Bayesian model averaging over tree-based dependence structures for multivariate extremes. (English) Zbl 07499281
MSC:
62-XX
Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case. (English) Zbl 1448.62065
Compatibility and attainability of matrices of correlation-based measures of concordance. (English) Zbl 1427.62051
Investigating the correlation structure of quadrivariate udder infection times through hierarchical Archimedean copulas. (English) Zbl 1429.62592
Hierarchical Archimax copulas. (English) Zbl 1418.62223
Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family. (English) Zbl 1393.62025
MSC:
62H05
On the estimation of nested Archimedean copulas: a theoretical and an experimental comparison. (English) Zbl 1417.62131
Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications. (English) Zbl 1398.62289
On structure, family and parameter estimation of hierarchical Archimedean copulas. (English) Zbl 07192120
MSC:
62-XX
Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas. (English) Zbl 1404.62054
Hierarchical Archimedean copulas through multivariate compound distributions. (English) Zbl 1395.62112
On tail dependence coefficients of transformed multivariate Archimedean copulas. (English) Zbl 1383.62160
A directory of families of infinitely extendible Archimedean copulas. (English) Zbl 1381.62074
MSC:
62H05
Random variate generation for Laguerre-type exponentially tilted \(\alpha\)-stable distributions. (English) Zbl 1328.62071
MSC:
62E15
65C60
Construction and sampling of Archimedean and nested Archimedean Lévy copulas. (English) Zbl 1320.62114
Nonparametric estimation of the tree structure of a nested Archimedean copula. (English) Zbl 1506.62163
Discussion of “On simulation and properties of the stable law” by L. Devroye and L. James. (English) Zbl 1332.65011
On the stick-breaking representation of \(\sigma\)-stable Poisson-Kingman models. (English) Zbl 1298.62049
A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks. (English) Zbl 1292.62077
Hierarchical Kendall copulas: properties and inference. (English. French summary) Zbl 1349.62172
Multivariate Archimax copulas. (English) Zbl 1349.62173
Selecting and estimating regular vine copulae and application to financial returns. (English) Zbl 1400.62114
On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators. (English) Zbl 1287.62005
A stochastic representation and sampling algorithm for nested Archimedean copulas. (English) Zbl 1271.60026
Likelihood inference for Archimedean copulas in high dimensions under known margins. (English) Zbl 1244.62073
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