[Ml-stat-talks] [stat seminar reminder]: Friday March 18th, 12:30pm by Prof. Ostap Okhrin

xtong at princeton.edu xtong at princeton.edu
Thu Mar 17 22:58:32 EDT 2011


 Hi All,

 This is a reminder that Prof. Ostap Okhrin from Berlin will present
Properties of Hierarchical Archimedean Copulas tomorrow at 12:30pm in the
statistics lab (2nd Floor, ORFE department).

 Abstract: In this paper we analyse the properties of hierarchical
Archimedean copulas. This class is a generalisation of the Archimedean
copulas and allows for general non-exchangeable dependency structures. We
show that the structure of the copula can be uniquely recovered from all
bivariate margins. We derive the distribution of the copula value, which
is particularly useful for tests and constructing confidence intervals.
Furthermore, we analyse dependence orderings, multivariate dependence
measures and extreme value copulas. Special attention we  pay to the tail
dependencies and derive several tail dependence indices for general
hierarchical Archimedean copulas.

 Best,

 Xin Tong
 ORFE
 
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