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
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