32 citations · 67 across the 29 of their papers we have counts for
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stat.CO2012★ 11 cited
Estimators for Archimedean copulas in high dimensions
Marius Hofert, Martin Maechler, Alexander J. McNeil
The performance of known and new parametric estimators for Archimedean copulas is investigated, with special focus on large dimensions and numerical difficulties. In particular, me…
math.ST2012★ 2 cited
Densities of nested Archimedean copulas
Marius Hofert, David Pham
Nested Archimedean copulas recently gained interest since they generalize the well-known class of Archimedean copulas to allow for partial asymmetry. Sampling algorithms and strate…