A note on upper-patched generators for Archimedean copulas - Archive ouverte HAL
Article Dans Une Revue ESAIM: Probability and Statistics Année : 2017

A note on upper-patched generators for Archimedean copulas

Résumé

The class of multivariate Archimedean copulas is defined by using a real-valued function called the generator of the copula. This generator satisfies some properties, including d-monotony. We propose here a new basic transformation of this generator, preserving these properties, thus ensuring the validity of the transformed generator and inducing a proper valid copula. This transformation acts only on a specific portion of the generator, it allows both the non-reduction of the likelihood on a given dataset, and the choice of the upper tail dependence coefficient of the transformed copula. Numerical illustrations show the utility of this construction, which can improve the fit of a given copula both on its central part and its tail.
Fichier principal
Vignette du fichier
UpperPatched_amsartHalv2.pdf (8.08 Mo) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-01347869 , version 1 (21-07-2016)
hal-01347869 , version 2 (01-03-2017)

Identifiants

Citer

Elena Di Bernardino, Didier Rullière. A note on upper-patched generators for Archimedean copulas. ESAIM: Probability and Statistics, 2017, ⟨10.1051/ps/2017003⟩. ⟨hal-01347869v2⟩
300 Consultations
318 Téléchargements

Altmetric

Partager

More