{"title":"异质阿基米德Copula","authors":"L. Overbeck","doi":"10.2139/ssrn.2880622","DOIUrl":null,"url":null,"abstract":"Archimedean copulae build a large family of copulae exhibiting tail-dependency in many cases. We extend the classical homogeneous (exchangeable) Archimedean copula to the heterogeneous case. This will extend the use of this copula family to multivariate random variable with pairwise different dependencies.","PeriodicalId":273058,"journal":{"name":"ERN: Model Construction & Estimation (Topic)","volume":"18 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2016-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Heterogeneous Archimedean Copula\",\"authors\":\"L. Overbeck\",\"doi\":\"10.2139/ssrn.2880622\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Archimedean copulae build a large family of copulae exhibiting tail-dependency in many cases. We extend the classical homogeneous (exchangeable) Archimedean copula to the heterogeneous case. This will extend the use of this copula family to multivariate random variable with pairwise different dependencies.\",\"PeriodicalId\":273058,\"journal\":{\"name\":\"ERN: Model Construction & Estimation (Topic)\",\"volume\":\"18 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2016-12-05\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Model Construction & Estimation (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2880622\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Model Construction & Estimation (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2880622","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Archimedean copulae build a large family of copulae exhibiting tail-dependency in many cases. We extend the classical homogeneous (exchangeable) Archimedean copula to the heterogeneous case. This will extend the use of this copula family to multivariate random variable with pairwise different dependencies.
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