user

A note on bivariate Archimax copulas

被引：0
|
作者：
Durante, Fabrizio [1 ]
Fernandez Sanchez, Juan [2 ]
Sempi, Carlo [3 ]
机构：
[1] Univ Salento, Dipartimento Sci Econ, I-73100 Lecce, Italy
[2] Univ Almeria, Grp Invest Anal Matemat, Almeria, Spain
[3] Univ Salento, Dipartimento Matemat & Fis Ennio De Giorgi, I-73100 Lecce, Italy
来源：
DEPENDENCE MODELING | 2018年 / 6卷 / 01期
关键词：
Archimax copulas; Pickands functions;
D O I：
10.1515/demo-2018-0011
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：
We present an analytical proof of the characterisation of bivariate Archimax copulas in terms of the properties of their generating functions.
引用
收藏
页码：178 / 182
页数：5
相关论文
共 50 条
  • [11] Inference and Sampling for Archimax Copulas
    Ng, Yuting
    Hasan, Ali
    Tarokh, Vahid
    ADVANCES IN NEURAL INFORMATION PROCESSING SYSTEMS 35, NEURIPS 2022, 2022,
  • [12] Archimax copulas and invariance under transformations
    Klement, EP
    Mesiar, R
    Pap, E
    COMPTES RENDUS MATHEMATIQUE, 2005, 340 (10) : 755 - 758
  • [13] Approximation of bivariate copulas by patched bivariate Frechet copulas
    Zheng, Yanting
    Yang, Jingping
    Huang, Jianhua Z.
    INSURANCE MATHEMATICS & ECONOMICS, 2011, 48 (02): : 246 - 256
  • [14] d-Dimensional dependence functions and Archimax copulas
    Mesiar, Radko
    Jagr, Vladimir
    FUZZY SETS AND SYSTEMS, 2013, 228 : 78 - 87
  • [15] A recipe for bivariate copulas
    Key, Eric
    COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2016, 45 (21) : 6416 - 6420
  • [16] Perturbation of bivariate copulas
    Mesiar, Radko
    Komornikova, Magda
    Komornik, Jozef
    FUZZY SETS AND SYSTEMS, 2015, 268 : 127 - 140
  • [17] Expansions for bivariate copulas
    Nadarajah, Saralees
    STATISTICS & PROBABILITY LETTERS, 2015, 100 : 77 - 84
  • [18] A class of multivariate copulas with bivariate Frechet marginal copulas
    Yang, Jingping
    Qi, Yongcheng
    Wang, Ruodu
    INSURANCE MATHEMATICS & ECONOMICS, 2009, 45 (01): : 139 - 147
  • [19] A class of multivariate copulas based on products of bivariate copulas
    Mazo, Gildas
    Girard, Stephane
    Forbes, Florence
    JOURNAL OF MULTIVARIATE ANALYSIS, 2015, 140 : 363 - 376
  • [20] Semiparametric bivariate Archimedean copulas
    Miguel Hernandez-Lobato, Jose
    Suarez, Alberto
    COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2011, 55 (06) : 2038 - 2058
12345