Constructing hierarchical Archimedean copulas with Levy subordinators

被引：33

作者：

Hering, Christian ^{[2
]}

Hofert, Marius ^{[2
]}

Mai, Jan-Frederik ^{[1
]}

Scherer, Matthias ^{[1
]}

机构：

[1] Tech Univ Munich, HVB Stiftungsinst Finanzmath, D-85748 Garching, Germany

[2] Univ Ulm, Inst Number Theory & Probabil Theory, D-89081 Ulm, Germany

来源：

JOURNAL OF MULTIVARIATE ANALYSIS | 2010年 / 101卷 / 06期

关键词：

Hierarchical Archimedean copulas; Levy subordinators; Sampling algorithm;

D O I：

10.1016/j.jmva.2009.10.005

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A probabilistic interpretation for hierarchical Archimedean copulas based on Levy subordinators is given. Independent exponential random variables are divided by group-specific Levy subordinators which are evaluated at a common random time. The resulting random vector has a hierarchical Archimedean survival copula. This approach suggests an efficient sampling algorithm and allows one to easily construct several new parametric families of hierarchical Archimedean copulas. (C) 2009 Elsevier Inc. All rights reserved.

引用

页码：1428 / 1433

页数：6

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