Matrix-tilted Archimedean copulas

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.

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Year of publication:	2021
Authors:	Hofert, Marius ; Ziegel, Johanna F.
Published in:	Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 9.2021, 4, p. 1-24
Publisher:	Basel : MDPI
Subject:	Archimedean copulas \| elliptical copulas \| generalization \| stochastic representation \| tilting

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/risks9040068 [DOI] 175721982X [GVK] hdl:10419/258157 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10013200737