On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators (Q5417587): Difference between revisions

Latest revision as of 13:39, 8 July 2024

scientific article; zbMATH DE number 6297670

Language	Label	Description	Also known as
English	On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators	scientific article; zbMATH DE number 6297670

Statements

instance of

scholarly article

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title

On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators (English)

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zbMATH Open document ID

1287.62005

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DOI

10.2478/demo-2013-0001

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21 May 2014

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Mathematics Subject Classification ID

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self-nested diagonal

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estimation

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tail dependence

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describes a project that uses

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MaRDI publication profile

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full work available at URL

https://doi.org/10.2478/demo-2013-0001

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0 references

0 references

Thresholding methods to estimate copula density

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Q2888089

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Q5262091

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Lower tail dependence for Archimedean copulas: characterizations and pitfalls

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Using distortions of copulas to price synthetic CDOs

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Evolution profiles and functional equations

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Q3855979

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Q3903872

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Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory

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Distorted Copulas: Constructions and Tail Dependence

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Absolutely Continuous Copulas with Given Diagonal Sections

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Copula and semicopula transforms

0 references

Comments on: Inference in multivariate Archimedean copula models

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STATISTICAL INFERENCE FOR COPULAS IN HIGH DIMENSIONS: A SIMULATION STUDY

0 references

Frank's condition for multivariate Archimedean copulas

0 references

Weak convergence of empirical copula processes

0 references

Constructing and generalizing given multivariate copulas: a unifying approach

0 references

Understanding Relationships Using Copulas

0 references

Estimating copula densities through wavelets

0 references

Inference in multivariate Archimedean copula models

0 references

Statistical Inference Procedures for Bivariate Archimedean Copulas

0 references

Combinatorics of partial derivatives

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Semiparametric bivariate Archimedean copulas

0 references

Sampling Archimedean copulas

0 references

Efficiently sampling nested Archimedean copulas

0 references

Likelihood inference for Archimedean copulas in high dimensions under known margins

0 references

Densities of nested Archimedean copulas

0 references

On copulas and their diagonals

0 references

Q3183808

0 references

Asymptotic efficiency of the two-stage estimation method for copula-based models

0 references

Copula convergence theorems for tail events.

0 references

Tail dependence from a distributional point of view

0 references

Comparison of semiparametric and parametric methods for estimating copulas

0 references

Archimax copulas and invariance under transformations

0 references

Q5389829

0 references

Archimedean copula estimation using Bayesian splines smoothing techniques

0 references

Statistics for near independence in multivariate extreme values

0 references

Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions

0 references

How to improve the fit of Archimedean copulas by means of transforms

0 references

A method to obtain new copulas from a given one

0 references

An introduction to copulas. Properties and applications

0 references

Q4395390

0 references

Kendall distribution functions and associative copulas

0 references

On the construction of copulas and quasi-copulas with given diagonal sections

0 references

Improved kernel estimation of copulas: weak convergence and goodness-of-fit testing

0 references

Copula density estimation by total variation penalized likelihood with linear equality constraints

0 references

Asymptotic distributions of multivariate rank order statistics

0 references

Comments on: Inference in multivariate Archimedean copula models

0 references

Asymptotics of empirical copula processes under non-restrictive smoothness assumptions

0 references

On the distortion of a copula and its margins

0 references

Constructing Archimedean copulas from diagonal sections

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5417587

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+Lower tail dependence for Archimedean copulas: characterizations and pitfalls
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+Using distortions of copulas to price synthetic CDOs
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@@ Property / cites work @@
+Evolution profiles and functional equations
@@ Property / cites work: Evolution profiles and functional equations / rank @@
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+Q3855979
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@@ Property / cites work @@
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+Normal rank
@@ Property / cites work @@
+Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory
+Normal rank
@@ Property / cites work @@
+Distorted Copulas: Constructions and Tail Dependence
+Normal rank
@@ Property / cites work @@
+Absolutely Continuous Copulas with Given Diagonal Sections
+Normal rank
@@ Property / cites work @@
+Copula and semicopula transforms
@@ Property / cites work: Copula and semicopula transforms / rank @@
+Normal rank
@@ Property / cites work @@
+Comments on: Inference in multivariate Archimedean copula models
+Normal rank
@@ Property / cites work @@
+STATISTICAL INFERENCE FOR COPULAS IN HIGH DIMENSIONS: A SIMULATION STUDY
+Normal rank
@@ Property / cites work @@
+Frank's condition for multivariate Archimedean copulas
+Normal rank
@@ Property / cites work @@
+Weak convergence of empirical copula processes
@@ Property / cites work: Weak convergence of empirical copula processes / rank @@
+Normal rank
@@ Property / cites work @@
+Constructing and generalizing given multivariate copulas: a unifying approach
+Normal rank
@@ Property / cites work @@
+Understanding Relationships Using Copulas
@@ Property / cites work: Understanding Relationships Using Copulas / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating copula densities through wavelets
@@ Property / cites work: Estimating copula densities through wavelets / rank @@
+Normal rank
@@ Property / cites work @@
+Inference in multivariate Archimedean copula models
+Normal rank
@@ Property / cites work @@
+Statistical Inference Procedures for Bivariate Archimedean Copulas
+Normal rank
@@ Property / cites work @@
+Combinatorics of partial derivatives
@@ Property / cites work: Combinatorics of partial derivatives / rank @@
+Normal rank
@@ Property / cites work @@
+Semiparametric bivariate Archimedean copulas
@@ Property / cites work: Semiparametric bivariate Archimedean copulas / rank @@
+Normal rank
@@ Property / cites work @@
+Sampling Archimedean copulas
@@ Property / cites work: Sampling Archimedean copulas / rank @@
+Normal rank
@@ Property / cites work @@
+Efficiently sampling nested Archimedean copulas
@@ Property / cites work: Efficiently sampling nested Archimedean copulas / rank @@
+Normal rank
@@ Property / cites work @@
+Likelihood inference for Archimedean copulas in high dimensions under known margins
+Normal rank
@@ Property / cites work @@
+Densities of nested Archimedean copulas
@@ Property / cites work: Densities of nested Archimedean copulas / rank @@
+Normal rank
@@ Property / cites work @@
+On copulas and their diagonals
@@ Property / cites work: On copulas and their diagonals / rank @@
+Normal rank
@@ Property / cites work @@
+Q3183808
@@ Property / cites work: Q3183808 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic efficiency of the two-stage estimation method for copula-based models
+Normal rank
@@ Property / cites work @@
+Copula convergence theorems for tail events.
@@ Property / cites work: Copula convergence theorems for tail events. / rank @@
+Normal rank
@@ Property / cites work @@
+Tail dependence from a distributional point of view
+Normal rank
@@ Property / cites work @@
+Comparison of semiparametric and parametric methods for estimating copulas
+Normal rank
@@ Property / cites work @@
+Archimax copulas and invariance under transformations
+Normal rank
@@ Property / cites work @@
+Q5389829
@@ Property / cites work: Q5389829 / rank @@
+Normal rank
@@ Property / cites work @@
+Archimedean copula estimation using Bayesian splines smoothing techniques
+Normal rank
@@ Property / cites work @@
+Statistics for near independence in multivariate extreme values
+Normal rank
@@ Property / cites work @@
+Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
+Normal rank
@@ Property / cites work @@
+How to improve the fit of Archimedean copulas by means of transforms
+Normal rank
@@ Property / cites work @@
+A method to obtain new copulas from a given one
@@ Property / cites work: A method to obtain new copulas from a given one / rank @@
+Normal rank
@@ Property / cites work @@
+An introduction to copulas. Properties and applications
+Normal rank
@@ Property / cites work @@
+Q4395390
@@ Property / cites work: Q4395390 / rank @@
+Normal rank
@@ Property / cites work @@
+Kendall distribution functions and associative copulas
+Normal rank
@@ Property / cites work @@
+On the construction of copulas and quasi-copulas with given diagonal sections
+Normal rank
@@ Property / cites work @@
+Improved kernel estimation of copulas: weak convergence and goodness-of-fit testing
+Normal rank
@@ Property / cites work @@
+Copula density estimation by total variation penalized likelihood with linear equality constraints
+Normal rank
@@ Property / cites work @@
+Asymptotic distributions of multivariate rank order statistics
+Normal rank
@@ Property / cites work @@
+Comments on: Inference in multivariate Archimedean copula models
+Normal rank
@@ Property / cites work @@
+Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
+Normal rank
@@ Property / cites work @@
+On the distortion of a copula and its margins
@@ Property / cites work: On the distortion of a copula and its margins / rank @@
+Normal rank
@@ Property / cites work @@
+Constructing Archimedean copulas from diagonal sections
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