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Diskussionspapiere des Lehrstuhls für Statistik und Ökonometrie, FAU Erlangen-Nürnberg >

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dc.contributor.authorFischer, Matthias J.en_US
dc.contributor.authorKöck, Christianen_US
dc.description.abstractRecently, Liebscher (2006) introduced a general construction scheme of d-variate copulas which generalizes the Archimedean family. Similarly, Morillas (2005) proposed a method to obtain a variety of new copulas from a given d-copula. Both approaches coincide only for the particular subclass of Archimedean copulas. Within this work we present a unifying framework which includes both Liebscher and Morillas copulas as special cases. Above that, more general copulas may be constructed. First examples are given.en_US
dc.publisherUniversität Erlangen-Nürnberg, Lehrstuhl für Statistik und empirische Wirtschaftsforschung Nürnbergen_US
dc.relation.ispartofseriesDiskussionspapiere // Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie 80/2007en_US
dc.subject.keywordconstruction of d-variate copulasen_US
dc.subject.keywordArchimedean copulasen_US
dc.subject.stwKopula (Mathematik)en_US
dc.subject.stwMultivariate Analyseen_US
dc.titleConstructing and generalizing multivariate copulas: a generalizing approachen_US
dc.typeWorking Paperen_US
Appears in Collections:Diskussionspapiere des Lehrstuhls für Statistik und Ökonometrie, FAU Erlangen-Nürnberg

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