Skip to main content
SpringerLink
Log in

Comments on: Inference in multivariate Archimedean copula models

  • Discussion
  • Published:
TEST Aims and scope Submit manuscript

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

References

  • Duchateau L, Janssen P (2008) The frailty model. Springer, New York

    MATH  Google Scholar 

  • Genest C, Boies J-C (2003) Detecting dependence with Kendall plots. Am Stat 57:275–284

    Article  MathSciNet  MATH  Google Scholar 

  • Hampel FR, Ronchetti EM, Rousseeuw PJ, Stahel WA (1986) Robust statistics: the approach based on influence functions. Wiley, New York

    MATH  Google Scholar 

  • Hougaard P (2000) Analysis of multivariate survival data. Springer, New York

    Book  MATH  Google Scholar 

  • McNeil AJ, Frey R, Embrechts P (2005) Quantitative risk management: concepts, techniques and tools. Princeton Univ Press, Princeton

    MATH  Google Scholar 

  • McNeil AJ, Nešlehová J (2009) Multivariate Archimedean copulas, d-monotone functions and ℓ 1-norm symmetric distributions. Ann Stat 37:3059–3097

    Article  MATH  Google Scholar 

  • Mikosch T (2006) Copulas: tales and facts. Extremes 9:3–20

    Article  MathSciNet  Google Scholar 

  • Nelsen RB, Quesada-Molina JJ, Rodríguez-Lallena JA, Úbeda-Flores M (2003) Kendall distribution functions. Stat Probab Lett 65:263–268

    Article  MATH  Google Scholar 

  • Rank J (ed) (2007) Copulas: from theory to application in finance. Risk Books, London

    Google Scholar 

  • Van der Vaart AW, Wellner JA (1996) Weak convergence and empirical processes: with applications to statistics. Springer, New York

    MATH  Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Department of Economics, Seijo University, 6-1-20 Seijo, Setagaya-ku, Tokyo, 157-8511, Japan

    Hideatsu Tsukahara

Authors
  1. Hideatsu Tsukahara
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Hideatsu Tsukahara.

Additional information

Communicated by Ricardo Cao.

This comment refers to the invited paper available at doi:10.1007/s11749-011-0250-6.

Rights and permissions

Reprints and permissions

About this article

Cite this article

Tsukahara, H. Comments on: Inference in multivariate Archimedean copula models. TEST 20, 287–289 (2011). https://doi.org/10.1007/s11749-011-0257-z

Download citation

  • Received:

  • Accepted:

  • Published:

  • Issue Date:

  • DOI: https://doi.org/10.1007/s11749-011-0257-z

Keywords

Search

Navigation