Densities of nested Archimedean copulas

Details Densities of nested Archimedean copulas Densities of nested Archimedean copulas

2012-04-11

arxiv.org/abs/1204.2410v1

Mathematics

Statistics Theory

31 pages

Scientific paper

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 such as estimation or goodness-of-fit testing 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 (if the number of nesting levels is not too large) for the density of nested Archimedean copulas in arbitrary dimensions. Various examples including famous Archimedean families and transformations of such are given. Furthermore, a numerically efficient way to evaluate the log-density is presented.

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