On the construction of nested Archimedean copulas for d-monotone generators

Mohsen Rezapour

Statistics & Probability Letters, 2015, vol. 101, issue C, 21-32

Abstract: Following McNeil and Nešlehová (2009), we present some weaker conditions under which a partially nested Archimedean copula with arbitrary nesting levels is still a copula. Relaxing the conditions on the generators enable researchers to model data sets more efficiently.

Keywords: Generator derivatives; Likelihood-based inference; Nested Archimedean copula; d-monotone; Williamson d-transforms (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (7)

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DOI: 10.1016/j.spl.2015.03.001

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