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Efficiently sampling nested Archimedean copulas

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  1. Hofert, Marius & Pham, David, 2013. "Densities of nested Archimedean copulas," Journal of Multivariate Analysis, Elsevier, vol. 118(C), pages 37-52.
  2. Chaoubi, Ihsan & Cossette, Hélène & Marceau, Etienne & Robert, Christian Y., 2021. "Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs," Computational Statistics & Data Analysis, Elsevier, vol. 154(C).
  3. Cossette, Hélène & Marceau, Etienne & Mtalai, Itre & Veilleux, Déry, 2018. "Dependent risk models with Archimedean copulas: A computational strategy based on common mixtures and applications," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 53-71.
  4. Penikas, Henry, 2014. "Investment portfolio risk modelling based on hierarchical copulas," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 35(3), pages 18-38.
  5. Okhrin, Ostap & Okhrin, Yarema & Schmid, Wolfgang, 2013. "On the structure and estimation of hierarchical Archimedean copulas," Journal of Econometrics, Elsevier, vol. 173(2), pages 189-204.
  6. Segers, Johan & Uyttendaele, Nathan, 2014. "Nonparametric estimation of the tree structure of a nested Archimedean copula," Computational Statistics & Data Analysis, Elsevier, vol. 72(C), pages 190-204.
  7. Charpentier, A. & Fougères, A.-L. & Genest, C. & Nešlehová, J.G., 2014. "Multivariate Archimax copulas," Journal of Multivariate Analysis, Elsevier, vol. 126(C), pages 118-136.
  8. Bedoui, Rihab & Braiek, Sana & Guesmi, Khaled & Chevallier, Julien, 2019. "On the conditional dependence structure between oil, gold and USD exchange rates: Nested copula based GJR-GARCH model," Energy Economics, Elsevier, vol. 80(C), pages 876-889.
  9. Górecki J. & Hofert M. & Holeňa M., 2017. "Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas," Dependence Modeling, De Gruyter, vol. 5(1), pages 75-87, January.
  10. Hofert, Marius & Huser, Raphaël & Prasad, Avinash, 2018. "Hierarchical Archimax copulas," Journal of Multivariate Analysis, Elsevier, vol. 167(C), pages 195-211.
  11. Uyttendaele, Nathan, 2016. "On the estimation of nested Archimedean copulas: A theoretical and an experimental comparison," LIDAM Discussion Papers ISBA 2016005, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  12. Dassios, Angelos & Qu, Yan & Zhao, Hongbiao, 2018. "Exact simulation for a class of tempered stable," LSE Research Online Documents on Economics 86981, London School of Economics and Political Science, LSE Library.
  13. Charpentier, Arthur & Mussard, Stéphane & Ouraga, Téa, 2021. "Principal component analysis: A generalized Gini approach," European Journal of Operational Research, Elsevier, vol. 294(1), pages 236-249.
  14. Stefano Favaro & Bernardo Nipoti, 2014. "Discussion of “On simulation and properties of the stable law” by L. Devroye and L. James," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 23(3), pages 365-369, August.
  15. GRIGORIADIS, Vasilis & EMMANOUILIDES, Christos & FOUSEKIS, Panos, 2016. "The Integration Of Pigmeat Markets In The Eu. Evidence From A Regular Mixed Vine Copula," Review of Agricultural and Applied Economics (RAAE), Faculty of Economics and Management, Slovak Agricultural University in Nitra, vol. 19(1), pages 1-10, March.
  16. Vettori, Sabrina & Huser, Raphael & Segers, Johan & Genton, Marc, 2017. "Bayesian Clustering and Dimension Reduction in Multivariate Extremes," LIDAM Discussion Papers ISBA 2017017, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  17. Górecki, Jan & Hofert, Marius & Okhrin, Ostap, 2021. "Outer power transformations of hierarchical Archimedean copulas: Construction, sampling and estimation," Computational Statistics & Data Analysis, Elsevier, vol. 155(C).
  18. Hofert, Marius & Mächler, Martin & McNeil, Alexander J., 2012. "Likelihood inference for Archimedean copulas in high dimensions under known margins," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 133-150.
  19. Dodo Natatou Moutari & Hassane Abba Mallam & Diakarya Barro & Bisso Saley, 2021. "Dependence Modeling and Risk Assessment of a Financial Portfolio with ARMA-APARCH-EVT models based on HACs," Papers 2105.09473, arXiv.org.
  20. Cossette, Hélène & Gadoury, Simon-Pierre & Marceau, Étienne & Mtalai, Itre, 2017. "Hierarchical Archimedean copulas through multivariate compound distributions," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 1-13.
  21. Mirza Nazmul Hasan & Roel Braekers, 2021. "Estimation of the association parameters in hierarchically clustered survival data by nested Archimedean copula functions," Computational Statistics, Springer, vol. 36(4), pages 2755-2787, December.
  22. Jörg Schwiebert, 2016. "Multinomial choice models based on Archimedean copulas," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 100(3), pages 333-354, July.
  23. Di Bernardino Elena & Rullière Didier, 2013. "On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators," Dependence Modeling, De Gruyter, vol. 1(2013), pages 1-36, October.
  24. Cesari, Oriana & Favaro, Stefano & Nipoti, Bernardo, 2014. "Posterior analysis of rare variants in Gibbs-type species sampling models," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 79-98.
  25. Li, Heping & Zhu, Wenjin & Dieulle, Laurence & Deloux, Estelle, 2022. "Condition-based maintenance strategies for stochastically dependent systems using Nested Lévy copulas," Reliability Engineering and System Safety, Elsevier, vol. 217(C).
  26. Julyan Arbel & Stefano Favaro, 2021. "Approximating Predictive Probabilities of Gibbs-Type Priors," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(1), pages 496-519, February.
  27. Nathan Uyttendaele, 2018. "On the estimation of nested Archimedean copulas: a theoretical and an experimental comparison," Computational Statistics, Springer, vol. 33(2), pages 1047-1070, June.
  28. Hofert, Marius, 2021. "Right-truncated Archimedean and related copulas," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 79-91.
  29. Mai Jan-Frederik, 2019. "Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case," Dependence Modeling, De Gruyter, vol. 7(1), pages 202-214, January.
  30. Leen Prenen & Roel Braekers & Luc Duchateau, 2018. "Investigating the correlation structure of quadrivariate udder infection times through hierarchical Archimedean copulas," Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data, Springer, vol. 24(4), pages 719-742, October.
  31. Diers, Dorothea & Eling, Martin & Marek, Sebastian D., 2012. "Dependence modeling in non-life insurance using the Bernstein copula," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 430-436.
  32. Cossette, Hélène & Côté, Marie-Pier & Mailhot, Mélina & Marceau, Etienne, 2014. "A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks," Journal of Multivariate Analysis, Elsevier, vol. 130(C), pages 1-20.
  33. Qu, Yan & Dassios, Angelos & Zhao, Hongbiao, 2021. "Random variate generation for exponential and gamma tilted stable distributions," LSE Research Online Documents on Economics 108593, London School of Economics and Political Science, LSE Library.
  34. Antonov I. N. & Knyazev A. G. & Lepekhin O. A., 2016. "Copula Models of the Joint Distribution of Exchange Rates," World of economics and management / Vestnik NSU. Series: Social and Economics Sciences, Socionet, vol. 16(4), pages 20-38.
  35. Dißmann, J. & Brechmann, E.C. & Czado, C. & Kurowicka, D., 2013. "Selecting and estimating regular vine copulae and application to financial returns," Computational Statistics & Data Analysis, Elsevier, vol. 59(C), pages 52-69.
  36. Maximilian Coblenz & Simon Holz & Hans‐Jörg Bauer & Oliver Grothe & Rainer Koch, 2020. "Modelling fuel injector spray characteristics in jet engines by using vine copulas," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 69(4), pages 863-886, August.
  37. Elena Di Bernardino & Didier Rullière, 2016. "On tail dependence coefficients of transformed multivariate Archimedean copulas," Post-Print hal-00992707, HAL.
  38. Matsypura, Dmytro & Neo, Emily & Prokhorov, Artem, 2016. "Estimation of Hierarchical Archimedean Copulas as a Shortest Path Problem," Economics Letters, Elsevier, vol. 149(C), pages 131-134.
  39. Zhou, Rui & Ji, Min, 2021. "Modelling mortality dependence: An application of dynamic vine copula," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 241-255.
  40. Grothe, Oliver & Hofert, Marius, 2015. "Construction and sampling of Archimedean and nested Archimedean Lévy copulas," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 182-198.
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