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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

  • Czech description

Classification

  • Type

    J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database

  • CEP classification

  • OECD FORD branch

    10201 - Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)

Result continuities

  • Project

  • 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