Dimitrova, Dimitrina S.; Kaishev, Vladimir K.; Penev, … - In: Computational Statistics & Data Analysis 52 (2008) 7, pp. 3570-3582
A new multivariate Archimedean copula estimation method is proposed in a non-parametric setting. The method uses the so-called Geometrically Designed splines (GeD splines) to represent the cdf of a random variable W[theta], obtained through the probability integral transform of an Archimedean...