|
 
|
[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
motcle:
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
BibTeX
| @article { | |||
| DR17, | |||
| title | = | "{A note on upper-patched generators for Archimedean copulas}", | |
| author | = | "E. Di Bernardino and . Rullière ", | |
| journal | = | "ESAIM: Probability and Statistics", | |
| year | = | 2017, | |
| volume | = | Forthcoming article, | |
| number | = | -, | |
| pages | = | "-", | |
| } | |||
