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- W2565724030 abstract "The class of multivariate Archimedean copulas is defined by using a real-valued function called the generator of the copula. This generator satisfies some properties, including d -monotonicity. We propose here a new basic transformation of this generator, preserving these properties, thus ensuring the validity of the transformed generator and inducing a proper valid copula. This transformation acts only on a specific portion of the generator, it allows both the non-reduction of the likelihood on a given dataset, and the choice of the upper tail dependence coefficient of the transformed copula. Numerical illustrations show the utility of this construction, which can improve the fit of a given copula both on its central part and its tail." @default.
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- W2565724030 date "2017-01-01" @default.
- W2565724030 modified "2023-10-14" @default.
- W2565724030 title "A note on upper-patched generators for Archimedean copulas" @default.
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- W2565724030 doi "https://doi.org/10.1051/ps/2017003" @default.
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