H-extendible copulas

Jan-Frederik Mai and Matthias Scherer

Journal of Multivariate Analysis, 2012, vol. 110, issue C, 151-160

Abstract: We survey recent developments on hierarchical copula models and focus on those arising as factor models. We unify the literature by introducing the notion of h-extendibility, a notion that generalizes dimension-extendible models to hierarchical structures. Special attention is devoted to h-extendible Archimedean and h-extendible Marshall–Olkin copulas.

Keywords: Hierarchical copula; h-extendible copula; De Finetti’s theorem; Factor model (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (9)

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DOI: 10.1016/j.jmva.2012.03.011

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