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 |
| Published: |
MDPI AG
2021-04-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/9/4/68 |
| _version_ | 1797538694733758464 |
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| author | Marius Hofert Johanna F. Ziegel |
| author_facet | Marius Hofert Johanna F. Ziegel |
| author_sort | Marius Hofert |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-10T12:34:04Z |
| format | Article |
| id | doaj.art-a1f8a83dff9e449a8e861ba6edeafccc |
| institution | Directory Open Access Journal |
| issn | 2227-9091 |
| language | English |
| last_indexed | 2024-03-10T12:34:04Z |
| publishDate | 2021-04-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Risks |
| spelling | doaj.art-a1f8a83dff9e449a8e861ba6edeafccc2023-11-21T14:23:52ZengMDPI AGRisks2227-90912021-04-01946810.3390/risks9040068Matrix-Tilted Archimedean CopulasMarius Hofert0Johanna F. Ziegel1Department of Statistics and Actuarial Science, University of Waterloo, 200 University Avenue West, Waterloo, ON N2L 3G1, CanadaInstitute of Mathematical Statistics and Actuarial Science, University of Bern, Alpeneggstrasse 22, 3012 Bern, SwitzerlandThe 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.https://www.mdpi.com/2227-9091/9/4/68Archimedean copulaselliptical copulasstochastic representationgeneralizationtilting |
| spellingShingle | Marius Hofert Johanna F. Ziegel Matrix-Tilted Archimedean Copulas Risks Archimedean copulas elliptical copulas stochastic representation generalization tilting |
| title | Matrix-Tilted Archimedean Copulas |
| title_full | Matrix-Tilted Archimedean Copulas |
| title_fullStr | Matrix-Tilted Archimedean Copulas |
| title_full_unstemmed | Matrix-Tilted Archimedean Copulas |
| title_short | Matrix-Tilted Archimedean Copulas |
| title_sort | matrix tilted archimedean copulas |
| topic | Archimedean copulas elliptical copulas stochastic representation generalization tilting |
| url | https://www.mdpi.com/2227-9091/9/4/68 |
| work_keys_str_mv | AT mariushofert matrixtiltedarchimedeancopulas AT johannafziegel matrixtiltedarchimedeancopulas |