Densities of nested Archimedean copulas

Journal of Multivariate Analysis

Volumn 118, Issue , 2013, Pages 37-52

  Hofert, Marius ^a   Pham, David ^b  

^a ETH ZURICH   (Switzerland)

^b UNIVERSITÉ DE MONTRÉAL   (Canada)

Author keywords

Generator derivatives; Likelihood based inference; Nested Archimedean copulas

Indexed keywords

EID: 84876492653     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2013.03.006     Document Type: Article

References (16)

1. Arbogast L.F.A. Du Calcul des Dérivations 1800, Levrault.
2. Boyadzhiev K.N. Exponential polynomials, stirling numbers, and evaluation of some gamma integrals. Abstract and Applied Analysis 2009, 2009.
3. Charalambides C.A. Combinatorial Methods in Discrete Distributions 2005, Wiley-Interscience.
4. Comtet L. Advanced Combinatorics: The Art of Finite and Infinite Expansions 1974, D. Reidel Publishing Company, Dordrecht, Holland, Boston, USA.
5. Craik A.D.D. Prehistory of Faà di Bruno's formula. The American Mathematical Monthly 2005, 112(2):119-130.
6. Genest C., Rémillard B., Beaudoin D. Goodness-of-fit tests for copulas: a review and a power study. Insurance: Mathematics and Economics 2009, 44:199-213.
7. Hardy M. Combinatorics of partial derivatives. The Electronic Journal of Combinatorics 2006, 13(1).
8. M. Hofert, Sampling nested Archimedean copulas with applications to CDO pricing, Ph.D. Thesis, Südwestdeutscher Verlag für Hochschulschriften AG & Co. KG, 2010, ISBN: 978-3-8381-1656-3.
9. Hofert M. A stochastic representation and sampling algorithm for nested Archimedean copulas. Journal of Statistical Computation and Simulation 2012, 82(9):1239-1255. 10.1080/00949655.2011.574632.
10. Hofert M. Efficiently sampling nested Archimedean copulas. Computational Statistics & Data Analysis 2011, 55:57-70. 10.1016/j.csda.2010.04.025.
11. Hofert M., Mächler M. Nested Archimedean copulas meet R: the nacopula package. Journal of Statistical Software 2011, 39(9):1-20. http://www.jstatsoft.org/v39/i09/ (2011-08-06).
12. M. Hofert, M. Mächler, A.J. McNeil, Estimators for Archimedean copulas in high dimensions, 2012.
13. Hofert M., Mächler M., McNeil A.J. Likelihood inference for Archimedean copulas in high dimensions under known margins. Journal of Multivariate Analysis 2012, 110:133-150. 10.1016/j.jmva.2012.02.019.
14. Joe H. Multivariate Models and Dependence Concepts 1997, Chapman & Hall/CRC.
15. Marshall A.W., Olkin I. Families of multivariate distributions. Journal of the American Statistical Association 1988, 83(403):834-841.
16. McNeil A.J. Sampling nested Archimedean copulas. Journal of Statistical Computation and Simulation 2008, 78(6):567-581.