Outer power transformations of hierarchical Archimedean copulas: Construction, sampling and estimation
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F21%3AA0000251" target="_blank" >RIV/47813059:19520/21:A0000251 - isvavai.cz</a>
Result on the web
<a href="https://reader.elsevier.com/reader/sd/pii/S0167947320302000?token=6D2075B1BFEBD7660F5493055219CC4DC0E2AB3C5BF069009FB1C20EB343E9931AF928F90F0A20D711B7BE2A1C63517D&originRegion=eu-west-1&originCreation=20220103133809" target="_blank" >https://reader.elsevier.com/reader/sd/pii/S0167947320302000?token=6D2075B1BFEBD7660F5493055219CC4DC0E2AB3C5BF069009FB1C20EB343E9931AF928F90F0A20D711B7BE2A1C63517D&originRegion=eu-west-1&originCreation=20220103133809</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.csda.2020.107109" target="_blank" >10.1016/j.csda.2020.107109</a>
Alternative languages
Result language
angličtina
Original language name
Outer power transformations of hierarchical Archimedean copulas: Construction, sampling and estimation
Original language description
Outer power (OP) transformations of Archimedean generators are suggested to increase the modeling flexibility and statistical fitting capabilities of classical Archimedean copulas restricted to a single parameter. For OP-transformed Archimedean copulas, a formula for computing tail dependence coefficients is obtained, as well as two feasible OP Archimedean copula estimators are proposed and their properties studied by simulation. For hierarchical extensions of OP-transformed Archimedean copulas under the sufficient nesting condition, a new construction principle, efficient sampling and parameter estimation for models based on a single one-parameter Archimedean family are addressed. Special attention is paid to the case where the sufficient nesting condition simplifies to two types of restrictions on the corresponding parameters. By simulation, the convergence rate and standard errors of the proposed estimator are studied. Excellent tail fitting capabilities of OP-transformed hierarchical Archimedean copula models are demonstrated in a risk management application. The results show that the OP transformation is able to improve the statistical fit of exchangeable Archimedean copulas, particularly of those that cannot capture upper tail dependence or strong concordance, as well as the statistical fit of hierarchical Archimedean copulas, especially in terms of tail dependence and higher dimensions. Given how comparably simple it is to include OP transformations into existing exchangeable and hierarchical Archimedean copula models, OP transformations provide an attractive trade-off between computational effort and statistical improvement.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10201 - Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)
Result continuities
Project
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Continuities
O - Projekt operacniho programu
Others
Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Computational Statistics & Data Analysis
ISSN
0167-9473
e-ISSN
1872-7352
Volume of the periodical
2021
Issue of the periodical within the volume
155
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
28
Pages from-to
1-28
UT code for WoS article
000609164800010
EID of the result in the Scopus database
2-s2.0-85092701933