کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1145906 1489682 2013 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Densities of nested Archimedean copulas
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
پیش نمایش صفحه اول مقاله
Densities of nested Archimedean copulas
چکیده انگلیسی

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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 118, July 2013, Pages 37–52
نویسندگان
, ,