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- W4300479901 abstract "The class of Archimax copulas is generalized to hierarchical Archimax copulas in two ways. First, a hierarchical construction of $d$-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." @default.
- W4300479901 created "2022-10-03" @default.
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- W4300479901 date "2017-07-03" @default.
- W4300479901 modified "2023-09-28" @default.
- W4300479901 title "Hierarchical Archimax copulas" @default.
- W4300479901 doi "https://doi.org/10.48550/arxiv.1707.00517" @default.
- W4300479901 hasPublicationYear "2017" @default.
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