Hierarchical Archimax copulas

Marius Hofert, Raphaël Huser and Avinash Prasad

Journal of Multivariate Analysis, 2018, vol. 167, issue C, 195-211

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.

Keywords: Archimax copulas; Hierarchical frailties; Hierarchical stable tail dependence functions; Nesting (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.jmva.2018.05.001

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