Hierarchical Archimedean copula models for the analysis of binary familial data.
Sign Up to like & getrecommendations! Published in 2018 at "Statistics in medicine"
DOI: 10.1002/sim.7521
Abstract: Archimedean copulas are commonly used in a wide range of statistical models due to their simplicity, manageable analytical expressions, rich choices of generator functions, and other workable properties. However, the exchangeable dependence structure inherent to… read more here.
Keywords: binary familial; dependence; hierarchical archimedean; archimedean copula ... See more keywords
Hierarchical Archimedean Dependence in Common Shock Models
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DOI: 10.1007/s11009-020-09816-8
Abstract: In this paper we show how to extend a simple common shock model with Archimedean dependence of the hidden variables to the non-exchangeable case. The assumption is that the hidden risk factors are linked by… read more here.
Keywords: archimedean dependence; dependence; hierarchical archimedean; dependence common ... See more keywords
Hierarchical Archimedean Copulas for MATLAB and Octave: The HACopula Toolbox
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Statistical Software"
DOI: 10.18637/jss.v093.i10
Abstract: To extend the current implementation of copulas in MATLAB to non-elliptical distributions in arbitrary dimensions enabling for asymmetries in the tails, the toolbox HACopula provides functionality for modeling with hierarchical (or nested) Archimedean copulas. This… read more here.
Keywords: hacopula; hierarchical archimedean; matlab; copulas matlab ... See more keywords