Copula Structure Analysis

DOI10.1111/j.1467-9868.2009.00707.xzbMath1250.62031OpenAlexW2030696482MaRDI QIDQ2920266

Claudia Klüppelberg, Gabriel Kuhn

Publication date: 25 October 2012

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9868.2009.00707.x

zbMATH Keywords

dimension reductionfactor analysiscovariance structure analysisKendall's \(\tau\)elliptical copulascorrelation structure analysis

Mathematics Subject Classification ID

Related Items (12)

Adaptive estimation of the copula correlation matrix for semiparametric elliptical copulas ⋮ ESTIMATORS BASED ON KENDALL'S TAU IN MULTIVARIATE COPULA MODELS ⋮ A flexible and tractable class of one-factor copulas ⋮ Two bootstrap strategies for a \(k\)-problem up to location-scale with dependent samples ⋮ Factor copula models for multivariate data ⋮ Tail dependence for regularly varying time series ⋮ A semiparametric approach to mixed outcome latent variable models: estimating the association between cognition and regional brain volumes ⋮ An extreme-value approach for testing the equality of large U-statistic based correlation matrices ⋮ Robust factor number specification for large-dimensional elliptical factor model ⋮ Canonical correlation analysis for elliptical copulas ⋮ Weighted least-squares inference for multivariate copulas based on dependence coefficients ⋮ Testing symmetry around a subspace

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Computing the nearest correlation matrix--a problem from finance
• A scaled difference chi-square test statistic for moment structure analysis
• A statistic for testing the null hypothesis of elliptical symmetry
• The meta-elliptical distributions with given marginals
• Least-squares theory based on general distributional assumptions with an application to the incomplete observations problem
• On the multivariate asymptotic distribution of sequential chi-square statistics
• The asymptotic covariance matrix of sample correlation coefficients under general conditions
• On the theory of elliptically contoured distributions
• Asymptotic distributions in canonical correlation analysis and other multivariate procedures for nonnormal populations
• Multivariate extremes, aggregation and dependence in elliptical distributions
• Asymptotically distribution‐free methods for the analysis of covariance structures
• A Class of Statistics with Asymptotically Normal Distribution

This page was built for publication: Copula Structure Analysis