Matrix-Tilted Archimedean Copulas

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 copu...

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Bibliographic Details
Published in:Risks
Main Authors: Marius Hofert, Johanna F. Ziegel
Format: Article
Language:English
Published: MDPI AG 2021-04-01
Subjects:
Archimedean copulas
elliptical copulas
stochastic representation
generalization
tilting
Online Access:https://www.mdpi.com/2227-9091/9/4/68

Internet

https://www.mdpi.com/2227-9091/9/4/68

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