scholarly journals Archimedean Copula Estimation Parameter with Kendall Distribution Function

2017 ◽  
Vol 38 (4) ◽  
pp. 619-625
Author(s):  
Ayşe METIN KARAKAS ◽  
Murat KARAKAS ◽  
Mine DOGAN
Keyword(s):  
Distribution Function ◽  
Archimedean Copula ◽  
Copula Estimation ◽  
Kendall Distribution

scholarly journals Simulation techniques of Archimedean Copula Estimators: Parametric and Semi-Parametric Approaches

2021 ◽  
Vol 2 (3) ◽  
pp. 52-60
Author(s):  
N. Idiou ◽  
F. Benatia
Keyword(s):  
Censored Data ◽  
Archimedean Copula ◽  
Parametric Approach ◽  
Archimedean Copulas ◽  
R Software ◽  
Kendall’S Tau ◽  
Software Simulation ◽  
Simulation Techniques ◽  
Spearman's Rho ◽  
Copula Estimation

In this paper, we look at two different approaches methodologies for copula estimation. The first is based on a parametric approach using MLE and IFM methods, while the second is entirely based on Kendall's tau and spearman's rho in a semi-parametric context, where the margins are estimated non-parametrically. Interestingly, based on R software simulation techniques, the contribution of their algorithms, approach, and illustration was our main focus for this paper. As an application, a class of Archimedean copulas was notably chosen. This particular class of copulas was also presented for censored data to show the estimator's performance even better.

scholarly journals Conditional tail independence in Archimedean copula models

2019 ◽  
Vol 56 (3) ◽  
pp. 858-869
Author(s):  
Michael Falk ◽  
Simone A. Padoan ◽  
Florian Wisheckel
Keyword(s):  
Distribution Function ◽  
Random Vector ◽  
Mild Condition ◽  
Conditional Distribution ◽  
Archimedean Copula ◽  
Tail Behavior ◽  
Copula Models ◽  
Generator Function

AbstractConsider a random vector $\textbf{U}$ whose distribution function coincides in its upper tail with that of an Archimedean copula. We report the fact that the conditional distribution of $\textbf{U}$ , conditional on one of its components, has under a mild condition on the generator function independent upper tails, no matter what the unconditional tail behavior is. This finding is extended to Archimax copulas.

Sign in / Sign up

Export Citation Format

Share Document