Arbeitspapier
Constructing and generalizing multivariate copulas: a generalizing approach
Recently, Liebscher (2006) introduced a general construction scheme of d-variate copulas which generalizes the Archimedean family. Similarly, Morillas (2005) proposed a method to obtain a variety of new copulas from a given d-copula. Both approaches coincide only for the particular subclass of Archimedean copulas. Within this work we present a unifying framework which includes both Liebscher and Morillas copulas as special cases. Above that, more general copulas may be constructed. First examples are given.
- Sprache
-
Englisch
- Erschienen in
-
Series: Diskussionspapier ; No. 80/2007
- Klassifikation
-
Wirtschaft
- Thema
-
construction of d-variate copulas
Archimedean copulas
Kopula (Mathematik)
Multivariate Analyse
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Fischer, Matthias J.
Köck, Christian
- Ereignis
-
Veröffentlichung
- (wer)
-
Friedrich-Alexander-Universität Erlangen-Nürnburg, Lehrstuhl für Statistik und Ökonometrie
- (wo)
-
Nürnberg
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Fischer, Matthias J.
- Köck, Christian
- Friedrich-Alexander-Universität Erlangen-Nürnburg, Lehrstuhl für Statistik und Ökonometrie
Entstanden
- 2007
Ähnliche Objekte (12)
Constructing symmetric generalized FGM copulas by means of certain univariate distributions
Rüschendorf-Copulas
Gluing copulas
Spatial-serial dependency in multivariate GARCH models and dynamic copulas: a simulation study
A limit theorem for copulas
A scalar product for copulas
Some aspects of Levy copulas
Properties of hierarchical Archimedean copulas
Statistical arbitrage with vine copulas
Generalized State-Dependent Models: A Multivariate Approach
New concepts of symmetry for copulas
Opinion Copulas, Homophily and Multimodal Marginals
Constructing symmetric generalized FGM copulas by means of certain univariate distributions
Rüschendorf-Copulas
Gluing copulas
Spatial-serial dependency in multivariate GARCH models and dynamic copulas: a simulation study
A limit theorem for copulas
A scalar product for copulas
Some aspects of Levy copulas
Properties of hierarchical Archimedean copulas
Statistical arbitrage with vine copulas
Generalized State-Dependent Models: A Multivariate Approach
New concepts of symmetry for copulas
Opinion Copulas, Homophily and Multimodal Marginals
Constructing symmetric generalized FGM copulas by means of certain univariate distributions
Rüschendorf-Copulas
Gluing copulas
Spatial-serial dependency in multivariate GARCH models and dynamic copulas: a simulation study
A limit theorem for copulas
A scalar product for copulas
Some aspects of Levy copulas
Properties of hierarchical Archimedean copulas
Statistical arbitrage with vine copulas
Generalized State-Dependent Models: A Multivariate Approach
New concepts of symmetry for copulas