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2013 | 1 | 1-36
Tytuł artykułu

On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
We study the impact of certain transformations within the class of Archimedean copulas. We give some admissibility conditions for these transformations, and define some equivalence classes for both transformations and generators of Archimedean copulas. We extend the r-fold composition of the diagonal section of a copula, from r ∈ N to r ∈ R. This extension, coupled with results on equivalence classes, gives us new expressions of transformations and generators. Estimators deriving directly from these expressions are proposed and their convergence is investigated. We provide confidence bands for the estimated generators. Numerical illustrations show the empirical performance of these estimators.
Wydawca
Czasopismo
Rocznik
Tom
1
Strony
1-36
Opis fizyczny
Daty
otrzymano
2013-06-13
zaakceptowano
2013-10-08
online
2013-10-21
Twórcy
  • Conservatoire National des Arts et Métiers, Département IMATH,
    EA4629, 292 rue Saint Martin, 75011, Paris, France, elena.di_bernardino@cnam.fr
  • Université de Lyon, Université Lyon 1, ISFA, Laboratoire SAF,
    EA2429, 50 avenue Tony Garnier, 69366 Lyon, France, didier.rulliere@univ-lyon1.fr
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Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.doi-10_2478_demo-2013-0001
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