On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
Elena Di Bernardino, Didier Rullière (2013)
Dependence Modeling
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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 diagonal section of a copula, from r ∈ N to r ∈ R. This extension, coupled with results on equivalence classes, gives us new expressions of transformations and generators. Estimators deriving directly...