De copulis non est disputandum. Copulae: an overview

DOI10.1007/S10182-009-0118-1zbMath1443.62134OpenAlexW1560527582MaRDI QIDQ1635006

Ostap Okhrin, Wolfgang Karl Härdle

Publication date: 18 December 2018

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10182-009-0118-1

zbMATH Keywords

value-at-riskcopulaemultivariate dependence

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Related Items (7)

Supermigrative copulas and positive dependence ⋮ Gaussian approximation of conditional elliptical copulas ⋮ Nonparametric Archimedean generator estimation with implications for multiple testing ⋮ Multivariate multiple test procedures based on nonparametric copula estimation ⋮ Penalized marginal likelihood estimation of finite mixtures of Archimedean copulas ⋮ Fitting High-Dimensional Copulae to Data ⋮ Flexible pair-copula estimation in D-vines using bivariate penalized splines

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the structure and estimation of hierarchical Archimedean copulas
• Goodness-of-fit tests for copulas
• Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models
• An introduction to copulas.
• A characterization of Gumbel's family of extreme value distributions
• A goodness of fit test for copulas based on Rosenblatt's transformation
• On the simultaneous associativity of F(x,y) and x+y-F(x,y)
• On Kendall's process
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Sampling nested Archimedean copulas
• Hierarchies of Archimedean copulas
• A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence
• Model Selection and Semiparametric Inference for Bivariate Failure-Time Data
• Sampling from Archimedean copulas
• Dependence structures for multivariate high-frequency data in finance
• Families of Multivariate Distributions
• Understanding Relationships Using Copulas
• Remarks on a Multivariate Transformation

This page was built for publication: De copulis non est disputandum. Copulae: an overview