On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
We study the impact of certain transformations within the class of Archimedean copulas. We give some admissibility conditions for these transformations, and define some equivalence classes for both transformations and generators of Archimedean copulas. We extend the r-fold composition of the diagona...
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| Autors principals: | , |
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| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
De Gruyter
2013-01-01
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| Col·lecció: | Dependence Modeling |
| Matèries: | |
| Accés en línia: | https://doi.org/10.2478/demo-2013-0001 |
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