A note on upper-patched generators for Archimedean copulas

Elena Di Bernardino and Didier Rulliere ()
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Elena Di Bernardino: CEDRIC - MSDMA - CEDRIC. Méthodes statistiques de data-mining et apprentissage - CEDRIC - Centre d'études et de recherche en informatique et communications - ENSIIE - Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise - CNAM - Conservatoire National des Arts et Métiers [CNAM]

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Abstract: The class of multivariate Archimedean copulas is defined by using a real-valued function called the generator of the copula. This generator satisfies some properties, including d-monotony. We propose here a new basic transformation of this generator, preserving these properties, thus ensuring the validity of the transformed generator and inducing a proper valid copula. This transformation acts only on a specific portion of the generator, it allows both the non-reduction of the likelihood on a given dataset, and the choice of the upper tail dependence coefficient of the transformed copula. Numerical illustrations show the utility of this construction, which can improve the fit of a given copula both on its central part and its tail.

Keywords: Archimedean copulas; transformations; distortions; tail dependence coefficients; likelihood (search for similar items in EconPapers)
Date: 2017-03-03
New Economics Papers: this item is included in nep-ecm
Note: View the original document on HAL open archive server: https://hal.science/hal-01347869v2
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Citations: View citations in EconPapers (4)

Published in ESAIM: Probability and Statistics, 2017, ⟨10.1051/ps/2017003⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01347869

DOI: 10.1051/ps/2017003

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