2009-05-16
AUTHORSFabrizio Durante, Marius Hofert, Matthias Scherer
ABSTRACTA transformation to obtain new multivariate hierarchical copulas, starting with an arbitrary copula, is introduced. In addition to the hierarchical structure, the presented construction principle explicitly supports singular components. These may be interpreted as the effect of local or global shocks to the underlying random variables. A large spectrum of dependence patterns can be achieved by the presented transformation, which seems promising for practical applications. Moreover, copulas arising from this construction are similarly admissible with respect to analytical tractability and sampling routines as the original copula. Finally, several well-known families of copulas may be interpreted as special cases. More... »
PAGES681-694
http://scigraph.springernature.com/pub.10.1007/s11009-009-9134-6
DOIhttp://dx.doi.org/10.1007/s11009-009-9134-6
DIMENSIONShttps://app.dimensions.ai/details/publication/pub.1012569752
JSON-LD is the canonical representation for SciGraph data.
TIP: You can open this SciGraph record using an external JSON-LD service: JSON-LD Playground Google SDTT
[
{
"@context": "https://springernature.github.io/scigraph/jsonld/sgcontext.json",
"about": [
{
"id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/01",
"inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/",
"name": "Mathematical Sciences",
"type": "DefinedTerm"
},
{
"id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/0104",
"inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/",
"name": "Statistics",
"type": "DefinedTerm"
}
],
"author": [
{
"affiliation": {
"alternateName": "Department of Knowledge-Based Mathematical Systems, Johannes Kepler University Linz, Altenbergerstra\u00dfe 69, 4040, Linz, Austria",
"id": "http://www.grid.ac/institutes/grid.9970.7",
"name": [
"Department of Knowledge-Based Mathematical Systems, Johannes Kepler University Linz, Altenbergerstra\u00dfe 69, 4040, Linz, Austria"
],
"type": "Organization"
},
"familyName": "Durante",
"givenName": "Fabrizio",
"id": "sg:person.013475607471.22",
"sameAs": [
"https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.013475607471.22"
],
"type": "Person"
},
{
"affiliation": {
"alternateName": "Institute of Number Theory and Probability Theory, Ulm University, Helmholtzstra\u00dfe 18, 89081, Ulm, Germany",
"id": "http://www.grid.ac/institutes/grid.6582.9",
"name": [
"Institute of Number Theory and Probability Theory, Ulm University, Helmholtzstra\u00dfe 18, 89081, Ulm, Germany"
],
"type": "Organization"
},
"familyName": "Hofert",
"givenName": "Marius",
"id": "sg:person.011401531703.70",
"sameAs": [
"https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.011401531703.70"
],
"type": "Person"
},
{
"affiliation": {
"alternateName": "HVB Stiftungsinstitut f\u00fcr Finanzmathematik, Technische Universit\u00e4t M\u00fcnchen, Boltzmannstra\u00dfe 3, 85748, Garching, Germany",
"id": "http://www.grid.ac/institutes/grid.6936.a",
"name": [
"HVB Stiftungsinstitut f\u00fcr Finanzmathematik, Technische Universit\u00e4t M\u00fcnchen, Boltzmannstra\u00dfe 3, 85748, Garching, Germany"
],
"type": "Organization"
},
"familyName": "Scherer",
"givenName": "Matthias",
"id": "sg:person.014604372624.19",
"sameAs": [
"https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.014604372624.19"
],
"type": "Person"
}
],
"citation": [
{
"id": "sg:pub.10.1007/s00184-009-0256-1",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1042695136",
"https://doi.org/10.1007/s00184-009-0256-1"
],
"type": "CreativeWork"
},
{
"id": "sg:pub.10.1007/s001840400330",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1023257593",
"https://doi.org/10.1007/s001840400330"
],
"type": "CreativeWork"
}
],
"datePublished": "2009-05-16",
"datePublishedReg": "2009-05-16",
"description": "A transformation to obtain new multivariate hierarchical copulas, starting with an arbitrary copula, is introduced. In addition to the hierarchical structure, the presented construction principle explicitly supports singular components. These may be interpreted as the effect of local or global shocks to the underlying random variables. A large spectrum of dependence patterns can be achieved by the presented transformation, which seems promising for practical applications. Moreover, copulas arising from this construction are similarly admissible with respect to analytical tractability and sampling routines as the original copula. Finally, several well-known families of copulas may be interpreted as special cases.",
"genre": "article",
"id": "sg:pub.10.1007/s11009-009-9134-6",
"inLanguage": "en",
"isAccessibleForFree": false,
"isPartOf": [
{
"id": "sg:journal.1043739",
"issn": [
"1387-5841",
"1573-7713"
],
"name": "Methodology and Computing in Applied Probability",
"publisher": "Springer Nature",
"type": "Periodical"
},
{
"issueNumber": "4",
"type": "PublicationIssue"
},
{
"type": "PublicationVolume",
"volumeNumber": "12"
}
],
"keywords": [
"hierarchical copulas",
"underlying random variables",
"families of copulas",
"random variables",
"arbitrary copula",
"singular components",
"analytical tractability",
"special case",
"copula",
"dependence patterns",
"construction principles",
"practical applications",
"tractability",
"hierarchical structure",
"transformation",
"principles",
"variables",
"applications",
"construction",
"spectra",
"structure",
"respect",
"routines",
"cases",
"large spectrum",
"shock",
"components",
"family",
"effect",
"addition",
"patterns",
"global shocks"
],
"name": "Multivariate Hierarchical Copulas with Shocks",
"pagination": "681-694",
"productId": [
{
"name": "dimensions_id",
"type": "PropertyValue",
"value": [
"pub.1012569752"
]
},
{
"name": "doi",
"type": "PropertyValue",
"value": [
"10.1007/s11009-009-9134-6"
]
}
],
"sameAs": [
"https://doi.org/10.1007/s11009-009-9134-6",
"https://app.dimensions.ai/details/publication/pub.1012569752"
],
"sdDataset": "articles",
"sdDatePublished": "2022-05-10T10:01",
"sdLicense": "https://scigraph.springernature.com/explorer/license/",
"sdPublisher": {
"name": "Springer Nature - SN SciGraph project",
"type": "Organization"
},
"sdSource": "s3://com-springernature-scigraph/baseset/20220509/entities/gbq_results/article/article_482.jsonl",
"type": "ScholarlyArticle",
"url": "https://doi.org/10.1007/s11009-009-9134-6"
}
]
Download the RDF metadata as: json-ld nt turtle xml License info
JSON-LD is a popular format for linked data which is fully compatible with JSON.
curl -H 'Accept: application/ld+json' 'https://scigraph.springernature.com/pub.10.1007/s11009-009-9134-6'
N-Triples is a line-based linked data format ideal for batch operations.
curl -H 'Accept: application/n-triples' 'https://scigraph.springernature.com/pub.10.1007/s11009-009-9134-6'
Turtle is a human-readable linked data format.
curl -H 'Accept: text/turtle' 'https://scigraph.springernature.com/pub.10.1007/s11009-009-9134-6'
RDF/XML is a standard XML format for linked data.
curl -H 'Accept: application/rdf+xml' 'https://scigraph.springernature.com/pub.10.1007/s11009-009-9134-6'
This table displays all metadata directly associated to this object as RDF triples.
118 TRIPLES
22 PREDICATES
59 URIs
49 LITERALS
6 BLANK NODES