A class of multivariate copulas based on products of bivariate copulas

DOI10.1016/J.JMVA.2015.06.001zbMath1329.62271OpenAlexW643300068MaRDI QIDQ495386

Gildas Mazo, Stéphane Girard, Florence Forbes

Publication date: 10 September 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2015.06.001

zbMATH Keywords

copulagraphical modelsmultivariatemaximum-likelihood inferencemessage-passing algorithm

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (9)

Estimation of high-order moment-independent importance measures for Shapley value analysis ⋮ Characterizations of bivariate conic, extreme value, and Archimax copulas ⋮ MULTIVARIATE COMPOSITE COPULAS ⋮ A streaming algorithm for bivariate empirical copulas ⋮ A trivariate Gaussian copula stochastic frontier model with sample selection ⋮ Dependence properties and Bayesian inference for asymmetric multivariate copulas ⋮ On the construction of radially symmetric copulas in higher dimensions ⋮ A new family of Archimedean copulas: the truncated-Poisson family of copulas ⋮ On a bivariate copula for modeling negative dependence: application to New York air quality data

Uses Software

• R
• QRM
• PBC
• copula

Cites Work

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• Pair-copula constructions of multiple dependence
• Erratum to ``Construction of asymmetric multivariate copulas
• An introduction to copulas.
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• A characterization of Gumbel's family of extreme value distributions
• Construction of asymmetric multivariate copulas
• Elliptical copulas: Applicability and limitations.
• Tests of symmetry for bivariate copulas
• Tests of independence and randomness based on the empirical copula process
• A Non-parametric Test of Exchangeability for Extreme-Value and Left-Tail Decreasing Bivariate Copulas
• Large-sample tests of extreme-value dependence for multivariate copulas
• The t Copula and Related Copulas
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Dependence measures for extreme value analyses

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