Hierarchical Archimax copulas

Marius Hofert, Raphaël Huser, Avinash Prasad

Research output: Contribution to journalArticlepeer-review

6 Scopus citations

Abstract

The class of Archimax copulas is generalized to hierarchical Archimax copulas in two ways. First, a hierarchical construction of d-norm generators is introduced to construct hierarchical stable tail dependence functions which induce a hierarchical structure on Archimax copulas. Second, by itself or additionally, hierarchical frailties are introduced to extend Archimax copulas to hierarchical Archimax copulas in a similar way as nested Archimedean copulas extend Archimedean copulas. Possible extensions to nested Archimax copulas are discussed. A general formula for the density and its evaluation of Archimax copulas is also introduced.
Original languageEnglish (US)
Pages (from-to)195-211
Number of pages17
JournalJournal of Multivariate Analysis
Volume167
DOIs
StatePublished - May 16 2018

Bibliographical note

KAUST Repository Item: Exported on 2021-02-23
Acknowledgements: The first author acknowledges support from NSERC (Grant RGPIN-5010-2015) and FIM, ETH Zürich. The third author acknowledges support from NSERC (PGS D scholarship). We would also like to thank the Editor-in-Chief, Christian Genest, the Associate Editor and the reviewers for their comments which helped to improve the paper substantially.

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