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  • Search: subject:"self-nested diagonal"
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Year of publication
Subject
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non-parametric estimation 3 self-nested diagonal 3 tail dependence 3 Transformations of Archimedean copula 2 Transformations of Archimedean copulas 1
Online availability
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Free 2 Undetermined 1
Type of publication
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Book / Working Paper 2 Article 1
Language
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Undetermined 3
Author
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Bernardino, Elena Di 2 Rullière, Didier 2 Didier, Rullière 1 Elena, Di Bernardino 1
Institution
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HAL 2
Published in...
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Dependence Modeling 1 Post-Print / HAL 1 Working Papers / HAL 1
Source
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RePEc 3
Showing 1 - 3 of 3
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On certain transformation of Archimedean copulas: Application to the non-parametric estimation of their generators
Bernardino, Elena Di; Rullière, Didier - HAL - 2013
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...
Persistent link: https://www.econbiz.de/10010698400
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On certain transformation of Archimedean copulas: Application to the non-parametric estimation of their generators
Bernardino, Elena Di; Rullière, Didier - HAL - 2013
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...
Persistent link: https://www.econbiz.de/10010701842
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Cover Image
On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
Elena, Di Bernardino; Didier, Rullière - In: Dependence Modeling 1 (2013) October, pp. 1-36
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...
Persistent link: https://www.econbiz.de/10010861976
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