Matrix-Tilted Archimedean Copulas
نویسندگان
چکیده
The new class of matrix-tilted Archimedean copulas is introduced. It combines properties and elliptical by introducing a tilting matrix in the stochastic representation copulas, similar to Cholesky factor for copulas. Basic this copula construction are discussed further extension outlined.
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ژورنال
عنوان ژورنال: Risks
سال: 2021
ISSN: ['2227-9091']
DOI: https://doi.org/10.3390/risks9040068