A0441
Title: Hierarchical outer power Archimedean copulas
Authors: Ostap Okhrin - Technische Universitaet Dresden (Germany) [presenting]
Jan Gorecki - Silesian university in Opava (Czech Republic)
Marius Hofert - University of Waterloo (Canada)
Abstract: Distributions based on hierarchical Archimedean copulas (HACs) became popular as they enable one to model non-elliptical and non-exchangeable dependencies among random variables. Their practical applications reported in the literature are, however, mostly limited to the case in which all generator functions in a HAC are one-parametric, which implies that all properties (e.g., Kendall's tau and tail dependence coefficients) of each bivariate margin of such a HAC is given just by a single parameter. Involving so-called outer power transformations of Archimedean generators in such models, this limitation can be alleviated, which typically allows one to set Kendall's tau and upper-tail dependence coefficient independently of each other. The construction, sampling and estimation of the resulting so-called hierarchical outer power Archimedean copulas are addressed.
