Title of article :
H-extendible copulas
Author/Authors :
Mai، Jan-Frederik نويسنده , Scherer، Matthias نويسنده
Issue Information :
دوفصلنامه با شماره پیاپی سال 2012
Abstract :
We survey recent developments on hierarchical copula models and focus on those arising as factor models. We unify the literature by introducing the notion of h -extendibility, a notion that generalizes dimension-extendible models to hierarchical structures. Special attention is devoted to h -extendible Archimedean and h-extendible Marshall–Olkin copulas.
Keywords :
Hierarchical copula , De Finetti’s theorem , Factor Model , h -extendible copula
Journal title :
Journal of Multivariate Analysis
Journal title :
Journal of Multivariate Analysis