Hierarchical Archimax copulas
| dc.contributor.author | Hofert, Marius | |
| dc.contributor.author | Huser, Raphaël | |
| dc.contributor.author | Prasad, Avinash | |
| dc.date.accessioned | 2019-02-27T09:31:39Z | |
| dc.date.available | 2017-12-28T07:32:14Z | |
| dc.date.available | 2019-02-27T09:31:39Z | |
| dc.date.issued | 2018-05-16 | |
| dc.identifier.citation | Hofert M, Huser R, Prasad A (2018) Hierarchical Archimax copulas. Journal of Multivariate Analysis 167: 195–211. Available: http://dx.doi.org/10.1016/j.jmva.2018.05.001. | |
| dc.identifier.issn | 0047-259X | |
| dc.identifier.doi | 10.1016/j.jmva.2018.05.001 | |
| dc.identifier.uri | http://hdl.handle.net/10754/626526 | |
| dc.description.abstract | The class of Archimax copulas is generalized to hierarchical Archimax copulas in two ways. First, a hierarchical construction of d-norm generators is introduced to construct hierarchical stable tail dependence functions which induce a hierarchical structure on Archimax copulas. Second, by itself or additionally, hierarchical frailties are introduced to extend Archimax copulas to hierarchical Archimax copulas in a similar way as nested Archimedean copulas extend Archimedean copulas. Possible extensions to nested Archimax copulas are discussed. A general formula for the density and its evaluation of Archimax copulas is also introduced. | |
| dc.description.sponsorship | The first author acknowledges support from NSERC (Grant RGPIN-5010-2015) and FIM, ETH Zürich. The third author acknowledges support from NSERC (PGS D scholarship). We would also like to thank the Editor-in-Chief, Christian Genest, the Associate Editor and the reviewers for their comments which helped to improve the paper substantially. | |
| dc.publisher | Elsevier BV | |
| dc.relation.url | http://www.sciencedirect.com/science/article/pii/S0047259X17304074 | |
| dc.rights | NOTICE: this is the author’s version of a work that was accepted for publication in Journal of Multivariate Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Multivariate Analysis, (2018)] DOI: 10.1016/j.jmva.2018.05.001. © 2018. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/ | |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | |
| dc.subject | Archimax copulas | |
| dc.subject | Hierarchical frailties | |
| dc.subject | Hierarchical stable tail dependence functions | |
| dc.subject | Nesting | |
| dc.title | Hierarchical Archimax copulas | |
| dc.type | Article | |
| dc.contributor.department | Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division | |
| dc.contributor.department | Statistics Program | |
| dc.identifier.journal | Journal of Multivariate Analysis | |
| dc.eprint.version | Post-print | |
| dc.contributor.institution | Department of Statistics and Actuarial Science, University of Waterloo, 200 University Avenue West, Waterloo, ON, Canada N2L 3G1 | |
| dc.identifier.arxivid | 1707.00517 | |
| kaust.person | Huser, Raphaël | |
| refterms.dateFOA | 2018-06-13T12:33:02Z | |
| dc.date.published-online | 2018-05-16 | |
| dc.date.published-print | 2018-09 | |
| dc.date.posted | 2017-07-03 |
Files in this item
This item appears in the following Collection(s)
![NOTICE: this is the author’s version of a work that was accepted for publication in Journal of Multivariate Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Multivariate Analysis, (2018)] DOI: 10.1016/j.jmva.2018.05.001. © 2018. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/](/themes/OR//images/creativecommons/cc-by-nc-nd.png)
Except where otherwise noted, this item's license is described as NOTICE: this is the author’s version of a work that was accepted for publication in Journal of Multivariate Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Multivariate Analysis, (2018)] DOI: 10.1016/j.jmva.2018.05.001. © 2018. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/