Some applications of the Archimedean copulas in the proof of the almost sure central limit theorem for ordinary maxima

Marcin Dudziński; Konrad Furmańczyk

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Displaying similar documents to “Some applications of the Archimedean copulas in the proof of the almost sure central limit theorem for ordinary maxima”

Proving the characterization of Archimedean copulas via Dini derivatives

Juan Fernández-Sánchez, Manuel Úbeda-Flores (2016)

Kybernetika

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In this note we prove the characterization of the class of Archimedean copulas by using Dini derivatives.

Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas

J. Górecki, M. Hofert, M. Holeňa (2017)

Dependence Modeling

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Several successful approaches to structure determination of hierarchical Archimedean copulas (HACs) proposed in the literature rely on agglomerative clustering and Kendall’s correlation coefficient. However, there has not been presented any theoretical proof justifying such approaches. This work fills this gap and introduces a theorem showing that, given the matrix of the pairwise Kendall correlation coefficients corresponding to a HAC, its structure can be recovered by an agglomerative...

On an asymmetric extension of multivariate Archimedean copulas based on quadratic form

Elena Di Bernardino, Didier Rullière (2016)

Dependence Modeling

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An important topic in Quantitative Risk Management concerns the modeling of dependence among risk sources and in this regard Archimedean copulas appear to be very useful. However, they exhibit symmetry, which is not always consistent with patterns observed in real world data. We investigate extensions of the Archimedean copula family that make it possible to deal with asymmetry. Our extension is based on the observation that when applied to the copula the inverse function of the generator...

Associative $n$ -dimensional copulas

Andrea Stupňanová, Anna Kolesárová (2011)

Kybernetika

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The associativity of $n$ -dimensional copulas in the sense of Post is studied. These copulas are shown to be just $n$ -ary extensions of associative 2-dimensional copulas with special constraints, thus they solve an open problem of R. Mesiar posed during the International Conference FSTA 2010 in Liptovský Ján, Slovakia.

Dynamic dependence ordering for Archimedean copulas and distorted copulas

Arthur Charpentier (2008)

Kybernetika

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This paper proposes a general framework to compare the strength of the dependence in survival models, as time changes, i. e. given remaining lifetimes $X$ , to compare the dependence of $X$ given $X > t$ , and $X$ given $X > s$ , where $s > t$ . More precisely, analytical results will be obtained in the case the survival copula of $X$ is either Archimedean or a distorted copula. The case of a frailty based model will also be discussed in details.

A remark on associative copulas

Piotr Mikusiński, Michael D. Taylor (1999)

Commentationes Mathematicae Universitatis Carolinae

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A method for producing associative copulas from a binary operation and a convex function on an interval is described.

Displaying similar documents to “Some applications of the Archimedean copulas in the proof of the almost sure central limit theorem for ordinary maxima”

Proving the characterization of Archimedean copulas via Dini derivatives

Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas

On an asymmetric extension of multivariate Archimedean copulas based on quadratic form

Associative n -dimensional copulas

Dynamic dependence ordering for Archimedean copulas and distorted copulas

A remark on associative copulas

Associative $n$ -dimensional copulas