Archimedean Copulas

Nelsen, Roger B.

doi:10.1007/978-1-4757-3076-0_4

Cited by 334 publications

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“…If all the F i are continuous, then C is unique. For a thorough theoretical introduction to copulas, see Joe [1997] and Nelsen [2006]; for a practical approach, see Salvadori et al [2007]. A freeware package written for ''R'' is available online for working with copulas [see Kojadinovic and Yan, 2010].…”

Section: Preliminariesmentioning

confidence: 99%

“…[11] Below we shall use a functional relation [Nelsen, 2006], similar to Sklar's theorem, that holds for multivariate survival functions:…”

Section: Preliminariesmentioning

confidence: 99%

“…X i with copula C (i.e., F i ¼ 1 À F i ), andĈ is the survival copula [Joe, 1997;Nelsen, 2006] of the X i . In particular,Ĉ can be written in terms of the copula C by using the inclusion-exclusion principle, sinceĈ u ð Þ ¼ C 1 À u ð Þ for all u 2 I d , and C is the survival function associated with C given by…”

Section: Preliminariesmentioning

confidence: 99%

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Multivariate return period calculation via survival functions

Salvadori

Durante

Michele

2013

Water Resources Research

114

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[1] The concept of return period is fundamental for the design and the assessment of many engineering works. In a multivariate framework, several approaches are available to its definition, each one yielding different solutions. In this paper, we outline a theoretical framework for the calculation of return periods in a multidimensional environment, based on survival copulas and the corresponding survival Kendall's measures. The present approach solves the problems raised in previous publications concerning the coherent foundation of the notion of return period in a multivariate setting. As an illustration, a practical hydrological application is presented.

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Section: Preliminariesmentioning

confidence: 99%

“…[11] Below we shall use a functional relation [Nelsen, 2006], similar to Sklar's theorem, that holds for multivariate survival functions:…”

Section: Preliminariesmentioning

confidence: 99%

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Multivariate return period calculation via survival functions

Salvadori

Durante

Michele

2013

Water Resources Research

114

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“…Moreover, the support of a copula C is defined as the complement of the union of all (relatively) open subsets of I 2 whose measure, induced by C, is zero. We refer to Nelsen (2006) for more details.…”

Section: Two Proofs Of Theoremmentioning

confidence: 99%

Almost opposite regression dependence in bivariate distributions

Siburg

Stoimenov

2014

Stat Papers

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“…Specifically, the authors employed Archimedean copulas to characterize the joint distribution of valuations. Copulas are functions that express the joint relationship between random variables as a function of their marginal distributions, and they allow the researcher to separate estimation of the marginal distributions from estimation of the joint distribution; see Nelsen (1999) for an introduction to copulas. This family of copulas is attractive as statisticians have identified conditions which arbitrary members must satisfy in order to guarantee affiliation holds.…”

Section: Affiliated Private Valuesmentioning

confidence: 99%

Structural Econometric Methods in Auctions: A Guide to the Literature

Hickman¹,

Hubbard²,

Saglam³

2012

Journal of Econometric Methods

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Auction models have proved to be attractive to structural econometricians who, since the late 1980s, have made substantial progress in identifying and estimating these rich game-theoretic models of bidder behavior. We provide a guide to the literature in which we contrast the various informational structures (paradigms) commonly assumed by researchers and uncover the evolution of the field. We highlight major contributions within each paradigm and benchmark modifications and extensions to these core models. Lastly, we discuss special topics that have received substantial attention among auction researchers in recent years, including auctions for multiple objects, auctions with risk averse bidders, testing between common and private value paradigms, unobserved auction-specific heterogeneity, and accounting for an unobserved number of bidders as well as endogenous entry.Keywords: auctions, structural econometrics. JEL Classification Numbers: C01, D44. * We were all students of Harry J. Paarsch and would like to express our sincere gratitude and appreciation to him. Harry was not only a pioneer of this literature, but he introduced each of us to the field and continues to inspire us today. We would also like to thank two anonymous referees for helpful suggestions. Any errors are our own.

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Archimedean Copulas

Cited by 334 publications

References 0 publications

Multivariate return period calculation via survival functions

Multivariate return period calculation via survival functions

Almost opposite regression dependence in bivariate distributions

Structural Econometric Methods in Auctions: A Guide to the Literature

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