Hierarchical Archimax copulas
Probability
2017-12-21 v2
Abstract
The class of Archimax copulas is generalized to hierarchical Archimax copulas in two ways. First, a hierarchical construction of -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. Additionally, a general formula for the density and its evaluation of Archimax copulas is introduced.
Keywords
Cite
@article{arxiv.1707.00517,
title = {Hierarchical Archimax copulas},
author = {Marius Hofert and Raphael Huser and Avinash Prasad},
journal= {arXiv preprint arXiv:1707.00517},
year = {2017}
}