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[DR13] On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
Revue Internationale avec comité de lecture : Journal Dependence Modelling, vol. 1, pp. 1–36, 2013, (doi: 10.2478/demo-2013-0001)Mots clés: Transformations of Archimedean copulas; self-nested diagonal; non-parametric estimation; tail dependence
Résumé:
We study the impact of certain transformations within the class of Archimedean copulas. We give some admissibility conditions for these transformations, and define some equivalence classes for both transformations and generators of Archimedean copulas. We extend the r-fold composition of the diagonal section of a copula, from r ∈ N to r ∈ R. This extension, coupled with results on equivalence classes, gives us new expressions of transformations and generators. Estimators deriving directly from these expressions are proposed and their convergence is investigated. We provide confidence bands for the estimated generators. Numerical illustrations show the empirical performance of these estimators.
Equipe:
msdma
BibTeX
| @article { | |||
| DR13, | |||
| title | = | "{On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators}", | |
| author | = | "E. Di Bernardino and D. Rullière", | |
| journal | = | " Dependence Modelling", | |
| year | = | 2013, | |
| volume | = | 1, | |
| pages | = | " 1–36", | |
| doi | = | " 10.2478/demo-2013-0001", | |
| } | |||
