| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1147024 | Journal of Multivariate Analysis | 2010 | 6 Pages |
Abstract
A probabilistic interpretation for hierarchical Archimedean copulas based on Lévy subordinators is given. Independent exponential random variables are divided by group-specific Lévy subordinators which are evaluated at a common random time. The resulting random vector has a hierarchical Archimedean survival copula. This approach suggests an efficient sampling algorithm and allows one to easily construct several new parametric families of hierarchical Archimedean copulas.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Christian Hering, Marius Hofert, Jan-Frederik Mai, Matthias Scherer,