[DR17] A note on upper-patched generators for Archimedean copulas

Revue Internationale avec comité de lecture : Journal ESAIM: Probability and Statistics, vol. Forthcoming article(-), pp. -, 2017
Résumé: The class of multivariate Archimedean copulas is defined by using a realvalued function called the generator of the copula. This generator satisfies some properties, including d-monotonicity. We propose here a new basic transformation of this generator, preserving these properties, thus ensuring the validity of the transformed generator and inducing a proper valid copula. This transformation acts only on a specific portion of the generator, it allows both the non-reduction of the likelihood on a given dataset, and the choice of the upper tail dependence coefficient of the transformed copula. Numerical illustrations show the utility of this construction, which can improve the fit of a given copula both on its central part and its tail.

Collaboration: ISFA


@article {
title="{A note on upper-patched generators for Archimedean copulas}",
author="E. Di Bernardino and . Rullière ",
journal="ESAIM: Probability and Statistics",
volume=Forthcoming article,