On the construction of nested Archimedean copulas for d-monotone generators

Following McNeil and Nešlehová (2009), we present some weaker conditions under which a partially nested Archimedean copula with arbitrary nesting levels is still a copula. Relaxing the conditions on the generators enable researchers to model data sets more efficiently.

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Year of publication:	2015
Authors:	Rezapour, Mohsen
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 101.2015, C, p. 21-32
Publisher:	Elsevier
Subject:	Generator derivatives \| Likelihood-based inference \| Nested Archimedean copula \| d-monotone \| Williamson d-transforms

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011263158