Abstract
We survey recent developments on hierarchical copula models and focus on those arising as factor models. We unify the literature by introducing the notion of . h-extendibility, a notion that generalizes dimension-extendible models to hierarchical structures. Special attention is devoted to . h-extendible Archimedean and h-extendible Marshall-Olkin copulas.
Originalsprache | Englisch |
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Seiten (von - bis) | 151-160 |
Seitenumfang | 10 |
Fachzeitschrift | Journal of Multivariate Analysis |
Jahrgang | 110 |
DOIs | |
Publikationsstatus | Veröffentlicht - Sept. 2012 |