4 papers
Morillas-type transformations of copulas and stable tail dependence functions
Klaus Herrmann, Marius Hofert, Mélina Mailhot +1
A stochastic representation and sampling algorithm for Morillas-type copula-to-copula transformations and related distortions of multivariate distribution functions is derived, res…
Index-mixed copulas
Klaus Herrmann, Marius Hofert, Nahid Sadr
The class of index-mixed copulas is introduced and its properties are investigated. Index-mixed copulas are constructed from given base copulas and a random index vector, and show…
Smooth bootstrapping of copula functionals
Maximilian Coblenz, Oliver Grothe, Klaus Herrmann +1
The smooth bootstrap for estimating copula functionals in small samples is investigated. It can be used both to gauge the distribution of the estimator in question and to augment t…
Multivariate Geometric Expectiles
Klaus Herrmann, Marius Hofert, Melina Mailhot
A generalization of expectiles for d-dimensional multivariate distribution functions is introduced. The resulting geometric expectiles are unique solutions to a convex risk minimiz…