Estimation of nonstrict Archimedean copulas and its application to quantum networks

Sandra König, Hannes Kazianka, Jürgen Pilz and Johannes Temme

Applied Stochastic Models in Business and Industry, 2015, vol. 31, issue 4, 464-482

Abstract: Bivariate nonstrict Archimedean copulas form a subclass of Archimedean copulas and are able to model the dependence structure of random variables that do not take on low quantiles simultaneously; i.e. their domain includes a set, the so‐called zero set, with positive Lebesgue measure but zero probability mass. Standard methods to fit a parametric Archimedean copula, e.g. classical maximum likelihood estimation, are either getting computationally more involved or even fail when dealing with this subclass. We propose an alternative method for estimating the parameter of a nonstrict Archimedean copula that is based on the zero set and the functional form of its boundary curve. This estimator is fast to compute and can be applied to absolutely continuous copulas but also allows singular components. In a simulation study, we compare its performance to that of the standard estimators. Finally, the estimator is applied when modeling the dependence structure of quantities describing the quality of transmission in a quantum network, and it is shown how this model can be used effectively to detect potential intruders in this network. Copyright © 2014 John Wiley & Sons, Ltd.

Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://doi.org/10.1002/asmb.2039

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:31:y:2015:i:4:p:464-482

Access Statistics for this article

More articles in Applied Stochastic Models in Business and Industry from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().