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
收藏
页码：1428 / 1433
页数：6
相关论文
共 50 条
  • [31] From Archimedean to Liouville copulas
    McNeil, Alexander J.
    Neslehova, Johanna
    [J]. JOURNAL OF MULTIVARIATE ANALYSIS, 2010, 101 (08) : 1772 - 1790
  • [32] Densities of nested Archimedean copulas
    Hofert, Marius
    Pham, David
    [J]. JOURNAL OF MULTIVARIATE ANALYSIS, 2013, 118 : 37 - 52
  • [33] Sampling nested Archimedean copulas
    Mcneil, Alexander J.
    [J]. JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, 2008, 78 (06) : 567 - 581
  • [34] Semiparametric bivariate Archimedean copulas
    Miguel Hernandez-Lobato, Jose
    Suarez, Alberto
    [J]. COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2011, 55 (06) : 2038 - 2058
  • [35] Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions
    Cossette, Helene
    Gadoury, Simon-Pierre
    Marceau, Etienne
    Robert, Christian Y.
    [J]. JOURNAL OF MULTIVARIATE ANALYSIS, 2019, 172 : 59 - 83
  • [36] Sampling from Archimedean copulas
    Whelan, N
    [J]. QUANTITATIVE FINANCE, 2004, 4 (03) : 339 - 352
  • [37] ARCHIMEDEAN COPULAS AND TEMPORAL DEPENDENCE
    Beare, Brendan K.
    [J]. ECONOMETRIC THEORY, 2012, 28 (06) : 1165 - 1185
  • [38] Singularity aspects of Archimedean copulas
    Fernandez Sanchez, Juan
    Trutschnig, Wolfgang
    [J]. JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2015, 432 (01) : 103 - 113
  • [39] Simulation for Mixture of Archimedean Copulas
    Ou, Shide
    [J]. MECHANICAL ENGINEERING AND INTELLIGENT SYSTEMS, PTS 1 AND 2, 2012, 195-196 : 738 - 743
  • [40] Tails of multivariate Archimedean copulas
    Charpentier, Arthur
    Segers, Johan
    [J]. JOURNAL OF MULTIVARIATE ANALYSIS, 2009, 100 (07) : 1521 - 1537
12345