Non-exchangeable random variables, Archimax copulas and their fitting to real data

Tomáš Bacigál; Vladimír Jágr; Radko Mesiar

Kybernetika (2011)

  • Volume: 47, Issue: 4, page 519-531
  • ISSN: 0023-5954

Abstract

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The aim of this paper is to open a new way of modelling non-exchangeable random variables with a class of Archimax copulas. We investigate a connection between powers of generators and dependence functions, and propose some construction methods for dependence functions. Application to different hydrological data is given.

How to cite

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Bacigál, Tomáš, Jágr, Vladimír, and Mesiar, Radko. "Non-exchangeable random variables, Archimax copulas and their fitting to real data." Kybernetika 47.4 (2011): 519-531. <http://eudml.org/doc/196428>.

@article{Bacigál2011,
abstract = {The aim of this paper is to open a new way of modelling non-exchangeable random variables with a class of Archimax copulas. We investigate a connection between powers of generators and dependence functions, and propose some construction methods for dependence functions. Application to different hydrological data is given.},
author = {Bacigál, Tomáš, Jágr, Vladimír, Mesiar, Radko},
journal = {Kybernetika},
keywords = {Archimax copula; dependence function; generator; Archimax copula; dependence function; generator},
language = {eng},
number = {4},
pages = {519-531},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Non-exchangeable random variables, Archimax copulas and their fitting to real data},
url = {http://eudml.org/doc/196428},
volume = {47},
year = {2011},
}

TY - JOUR
AU - Bacigál, Tomáš
AU - Jágr, Vladimír
AU - Mesiar, Radko
TI - Non-exchangeable random variables, Archimax copulas and their fitting to real data
JO - Kybernetika
PY - 2011
PB - Institute of Information Theory and Automation AS CR
VL - 47
IS - 4
SP - 519
EP - 531
AB - The aim of this paper is to open a new way of modelling non-exchangeable random variables with a class of Archimax copulas. We investigate a connection between powers of generators and dependence functions, and propose some construction methods for dependence functions. Application to different hydrological data is given.
LA - eng
KW - Archimax copula; dependence function; generator; Archimax copula; dependence function; generator
UR - http://eudml.org/doc/196428
ER -

References

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