Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1146440 | Journal of Multivariate Analysis | 2012 | 10 Pages |
Abstract
We survey recent developments on hierarchical copula models and focus on those arising as factor models. We unify the literature by introducing the notion of hh-extendibility , a notion that generalizes dimension-extendible models to hierarchical structures. Special attention is devoted to hh-extendible Archimedean and h-extendible Marshall–Olkin copulas.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Jan-Frederik Mai, Matthias Scherer,