• Title of article

    Densities of nested Archimedean copulas

  • Author/Authors

    Christian and Hofert، نويسنده , , Marius and Pham، نويسنده , , David، نويسنده ,

  • Issue Information
    دوفصلنامه با شماره پیاپی سال 2013
  • Pages
    16
  • From page
    37
  • To page
    52
  • Abstract
    Nested Archimedean copulas recently gained interest since they generalize the well-known class of Archimedean copulas to allow for partial asymmetry. Sampling algorithms and strategies have been well investigated for nested Archimedean copulas. However, for likelihood based inference it is important to have the density. The present work fills this gap. A general formula for the derivatives of the nodes and inner generators appearing in nested Archimedean copulas is developed. This leads to a tractable formula for the density of nested Archimedean copulas in arbitrary dimensions if the number of nesting levels is not too large. Various examples including famous Archimedean families and transformations of such are given. Furthermore, a numerically efficient way to evaluate the log-density is presented.
  • Keywords
    Nested Archimedean copulas , Generator derivatives , Likelihood-based inference
  • Journal title
    Journal of Multivariate Analysis
  • Serial Year
    2013
  • Journal title
    Journal of Multivariate Analysis
  • Record number

    1566300