Matrix-Tilted Archimedean Copulas
Keyword(s):
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.
2011 ◽
Vol 43
(1)
◽
pp. 195-216
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2020 ◽
Vol 12
(2)
◽
pp. 383-394
Keyword(s):
2015 ◽
Vol 7
(1)
◽
pp. 62-73
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2018 ◽
Vol 7
(4.10)
◽
pp. 880
Keyword(s):
Keyword(s):