Archimedean copula estimation using Bayesian splines smoothing techniques

Copulas enable to specify multivariate distributions with given marginals.Various parametric proposals were made in the literature for these quantities, mainly in the bivariate case. They can be systematically derived from multivariate distributions with known marginals, yielding e.g. the normal and the Student copulas. Alternatively, one can restrict his/her interest to a sub-family of copulas named Archimedean. They are characterized by a strictly decreasing convex function on (0,1) which tends to +∞ at 0 (when strict)

• Type: Journal
• Year: 2007
• Where: CSDA
• Authors: Philippe Lambert
• Keywords: Bivariate Case, CSDA 2007, Marginals.Various Parametric Proposals, Multivariate Distributions