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stat.ME2016
Extending one-factor copulas
Nathan Uyttendaele, Gildas Mazo
So far, one-factor copulas induce conditional independence with respect to a latent factor. In this paper, we extend one-factor copulas to conditionally dependent models. This is a…
stat.ME2014
Nested Archimedean copulas: a new class of nonparametric tree structure estimators
Nathan Uyttendaele
Any nested Archimedean copula is defined starting from a rooted phylogenetic tree, for which a new class of nonparametric estimators is presented. An estimator from this new class…
stat.ME2013
Nonparametric estimation of the tree structure of a nested Archimedean copula
Johan Segers, Nathan Uyttendaele
One of the features inherent in nested Archimedean copulas, also called hierarchical Archimedean copulas, is their rooted tree structure. A nonparametric, rank-based method to esti…