Non-exchangeable random variables, archimax copulas and their fitting to real data

Title:

Non-exchangeable random variables, archimax copulas and their fitting to real data

Creator:

Bacigál, Tomáš, Jágr, Vladimír, and Mesiar, Radko

Identifier:

https://cdk.lib.cas.cz/client/handle/uuid:02d87e1c-4cc6-4337-bb38-50d7cafddf7a
uuid:02d87e1c-4cc6-4337-bb38-50d7cafddf7a

Subject:

archimax copulas, dependence function, and generator

Type:

model:article and TEXT

Format:

bez média and svazek

Description:

The aim of this paper is to open a new way of modelling non-exchangeable random variables with a class of Archimax copulas. We investigate a connection between powers of generators and dependence functions, and propose some construction methods for dependence functions. Application to different hydrological data is given.

Language:

English

Rights:

http://creativecommons.org/publicdomain/mark/1.0/
policy:public

Coverage:

[519]-531

Source:

Kybernetika | 2011 Volume:47 | Number:4

Harvested from:

CDK

Metadata only:

false