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Densities of nested Archimedean copulas

About

Nested Archimedean copulas recently gained interest since they generalize the well-known class of Archimedean copulas to allow for partial asymmetry. Sampling algorithms and strategies have been well investigated for nested Archimedean copulas. However, for likelihood based inference it is important to have the density. The present work fills this gap. A general formula for the derivatives of the nodes and inner generators appearing in nested Archimedean copulas is developed. This leads to a tractable formula for the density of nested Archimedean copulas in arbitrary dimensions if the number of nesting levels is not too large. Various examples including famous Archimedean families and transformations of such are given. Furthermore, a numerically efficient way to evaluate the log-density is presented.

Marius Hofert, David Pham• 2012

Related benchmarks

TaskDatasetResultRank
Predictive ModelingMIMIC-IV (train)
Mean Negative Log-Likelihood (NLL)4.951
14
Copula ModelingMIMIC-IV (held-out)
Negative Log-Likelihood (Test)4.949
11
Likelihood EstimationS&P 500 (d=98)
Neg Log-Likelihood (-ℓ̄)-20.6
4
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