Constructing hierarchical Archimedean copulas with Lévy subordinators
Document type:
Zeitschriftenaufsatz
Author(s):
Hering, C.; Hofert, M.; Mai, J.; Scherer, M.
Non-TUM Co-author(s):
ja
Cooperation:
international
Abstract:
A probabilistic interpretation for hierarchical Archimedean copulas based on Lévy subordinators is given. Independent exponential random variables are divided by group-specific Lévy subordinators which are evaluated at a common random time. The resulting random vector has a hierarchical Archimedean survival copula. This approach suggests an efficient sampling algorithm and allows one to easily construct several new parametric families of hierarchical Archimedean copulas.