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arXiv · 1707.00517

Hierarchical Archimax copulas

Marius Hofert·Raphael Huser·Avinash Prasad
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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.

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BibTeXRIS

Marius Hofert, Raphael Huser, Avinash Prasad. 2017-07-03. Hierarchical Archimax copulas. https://arxiv.org/abs/1707.00517

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