Matrix-Tilted Archimedean Copulas

Marius Hofert and Johanna F. Ziegel
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Marius Hofert: Department of Statistics and Actuarial Science, University of Waterloo, 200 University Avenue West, Waterloo, ON N2L 3G1, Canada
Johanna F. Ziegel: Institute of Mathematical Statistics and Actuarial Science, University of Bern, Alpeneggstrasse 22, 3012 Bern, Switzerland

Risks, 2021, vol. 9, issue 4, 1-24

Abstract: The new class of matrix-tilted Archimedean copulas is introduced. It combines properties of Archimedean and elliptical copulas by introducing a tilting matrix in the stochastic representation of Archimedean copulas, similar to the Cholesky factor for elliptical copulas. Basic properties of this copula construction are discussed and a further extension outlined.

Keywords: Archimedean copulas; elliptical copulas; stochastic representation; generalization; tilting (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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