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 copu...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2021-04-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/9/4/68 |
| Summary: | 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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| ISSN: | 2227-9091 |