multivariate Archimedean copulas (Clayton, Gumbel and Frank)
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Hi everyone,
I'm traying to estimate families of multivariate Archimedean copulas (Clayton, Gumbel and Frank) for 4 random variables
The first problem arise while estimating the kendall's tau or spearman's rho from the data needed for the simulation of the copula.
I've read many papers on the subject and none of them shows a code or a clear algorithm, but only complicated formulas for computer
implementation or suggest a method barely explained. Does anyone knows a paper or a book where the author go into thecnical issues
thanks in advance for any suggestion.
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