Constructing hierarchical Archimedean copulas with Lévy subordinators

Christian Hering, Marius Hofert, Jan-Frederik Mai and Matthias Scherer

Journal of Multivariate Analysis, 2010, vol. 101, issue 6, 1428-1433

Abstract: A probabilistic interpretation for hierarchical Archimedean copulas based on Lévy subordinators is given. Independent exponential random variables are divided by group-specific Lévy subordinators which are evaluated at a common random time. The resulting random vector has a hierarchical Archimedean survival copula. This approach suggests an efficient sampling algorithm and allows one to easily construct several new parametric families of hierarchical Archimedean copulas.

Keywords: Hierarchical; Archimedean; copulas; Levy; subordinators; Sampling; algorithm (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (16)

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