Matrix-Tilted Archimedean Copulas
The new class of matrix-tilted Archimedean copulas is introduced. It combines properties of Archimedean and elliptical copulas by introducing a tilting matrix in the stochastic representation of Archimedean copulas, similar to the Cholesky factor for elliptical copulas. Basic properties of this copu...
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| Autores principales: | , |
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| Formato: | Artigo |
| Lenguaje: | Inglês |
| Publicado: |
MDPI AG
2021-04-01
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| Colección: | Risks |
| Materias: | |
| Acceso en línea: | https://www.mdpi.com/2227-9091/9/4/68 |
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