Copula modeling from Abe Sklar to the present day (Q6200955)

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scientific article; zbMATH DE number 7823275

Language	Label	Description	Also known as
English	Copula modeling from Abe Sklar to the present day	scientific article; zbMATH DE number 7823275

Statements

scholarly article

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Copula modeling from Abe Sklar to the present day (English)

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Christian Genest

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Journal of Multivariate Analysis

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publication date

25 March 2024

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zbMATH Keywords

copula models

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dependence modeling

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MaRDI profile type

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full work available at URL

https://doi.org/10.1016/j.jmva.2023.105278

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Pair-copula constructions of multiple dependence

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Ordering risk bounds in factor models

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Ordering results for elliptical distributions with applications to risk bounds

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Sklar's theorem, copula products, and ordering results in factor models

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Copula based hierarchical risk aggregation through sample reordering

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A simple measure of conditional dependence

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On Kendall's process

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Copulas and Temporal Dependence

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Probability density decomposition for conditionally dependent random variables modeled by vines

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Vines -- a new graphical model for dependent random variables.

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Local Power Analyses of Goodness‐of‐fit Tests for Copulas

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Risk bounds for factor models

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Stochastic representation of FGM copulas using multivariate Bernoulli random variables

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False discovery rate control under Archimedean copula

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A copula-graphic estimator for the conditional survival function under dependent censoring

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Hierarchical Kendall copulas: Properties and inference

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New estimators of the Pickands dependence function and a test for extreme-value dependence

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Asymptotic behavior of an intrinsic rank-based estimator of the Pickands dependence function constructed from B-splines

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When uniform weak convergence fails: empirical processes for dependence functions and residuals via epi- and hypographs

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Consistent risk measures for portfolio vectors

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A nonparametric estimation procedure for bivariate extreme value copulas

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Multivariate Archimax copulas

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A new coefficient of correlation

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Estimation of copula-based semiparametric time series models

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Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification

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On the asymptotic distribution of a general measure of monotone dependence

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A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence

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Using B-splines for nonparametric inference on bivariate extreme-value copulas

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A copula‐based risk aggregation model

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Rank-based inference tools for copula regression, with property and casualty insurance applications

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Analyzing dependent data with vine copulas. A practical guide with R

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Copulas and Markov processes

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A Copula‐Based Non‐parametric Measure of Regression Dependence

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EM algorithm in Gaussian copula with missing data

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A moment-based test for extreme-value dependence

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Multivariate hierarchical copulas with shocks

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Principles of Copula Theory

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Bernoulli and tail-dependence compatibility

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Survival analysis with correlated endpoints. Joint frailty-copula models

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Common risk factors in the returns on stocks and bonds

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The performance of some correlation coefficients for a general bivariate distribution

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Inference for copula modeling of discrete data: a cautionary tale and some facts

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Weak convergence of empirical copula processes

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Time-dependent copulas

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Projection estimators of Pickands dependence functions

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Estimating the tail-dependence coefficient: properties and pitfalls

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Understanding Relationships Using Copulas

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Copula modeling for discrete random vectors

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Frank's family of bivariate distributions

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A tribute to Abe Sklar

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Detecting Dependence With Kendall Plots

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A semiparametric estimation procedure of dependence parameters in multivariate families of distributions

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A goodness-of-fit test for bivariate extreme-value copulas

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A law of uniform seniority for dependent lives

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Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données

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A Primer on Copulas for Count Data

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Spearman's footrule and Gini's gamma: a review with complements

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ESTIMATORS BASED ON KENDALL'S TAU IN MULTIVARIATE COPULA MODELS

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On the estimation of Spearman's rho and related tests of independence for possibly discontinuous multivariate data

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Inference in multivariate Archimedean copula models

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On tests of radial symmetry for bivariate copulas

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Tests of symmetry for bivariate copulas

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On the empirical multilinear copula process for count data

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Asymptotic behavior of the empirical multilinear copula process under broad conditions

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Testing for independence in arbitrary distributions

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The class of multivariate max-id copulas with \(\ell_{1}\)-norm symmetric exponent measure

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On blest's measure of rank correlation

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A journey beyond the Gaussian world. An interview with Harry Joe

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Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation

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Asymptotic local efficiency of Cramér\,-\,von Mises tests for multivariate independence

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Tests of independence and randomness based on the empirical copula process

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Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models

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Goodness-of-fit tests for copulas: A review and a power study

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Statistical Inference Procedures for Bivariate Archimedean Copulas

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On the multivariate probability integral transformation

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When copulas and smoothing met: an interview with Irène Gijbels

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Rank-based inference for bivariate extreme-value copulas

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Locally most powerful rank tests of independence for copula models

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Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles

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Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation

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On a multivariate copula-based dependence measure and its estimation

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Bivariate Exponential Distributions

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\(L_p\)-norm spherical distribution

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Calibration estimation of semiparametric copula models with data missing at random

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Copula-based regression models with data missing at random

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Maximal non-exchangeability in dimension \(d\)

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The Use of Archimedean Copulas to Model Portfolio Allocations

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COMPATIBILITY AND ATTAINABILITY OF MATRICES OF CORRELATION-BASED MEASURES OF CONCORDANCE

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Elements of Copula Modeling with R

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Likelihood inference for Archimedean copulas in high dimensions under known margins

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Dependence Modeling with Copulas

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Maximum asymmetry of copulas revisited

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Uniform representations of bivariate distributions

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An estimator of the stable tail dependence function based on the empirical beta copula

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Tests of serial independence for continuous multivariate time series based on a Möbius decomposition of the independence empirical copula process

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Fast large-sample goodness-of-fit tests for copulas

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Copula-based regression models: a survey

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Factor copula models for multivariate data

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Structured factor copula models: theory, inference and computation

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Approximate likelihood with proxy variables for parameter estimation in high-dimensional factor copula models

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Uncertainty Analysis with High Dimensional Dependence Modelling

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Simulating Copulas

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Sampling nested Archimedean copulas

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

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On attainability of Kendall's tau matrices and concordance signatures

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Copulas: Tales and facts (with discussion)

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Archimedean copulae and positive dependence

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Tests of serial dependence for multivariate time series with arbitrary distributions

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An introduction to copulas.

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On rank correlation measures for non-continuous random variables

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Estimating the proportion of true null hypotheses under dependency: a marginal bootstrap approach

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Multivariate multiple test procedures based on nonparametric copula estimation

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A copula approach for dependence modeling in multivariate nonparametric time series

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Copula-Based Regression Estimation and Inference

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Bivariate Survival Models Induced by Frailties

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Multivariate survival distributions

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On the structure and estimation of hierarchical Archimedean copulas

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Properties of hierarchical Archimedean copulas

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Pair Copula Constructions for Multivariate Discrete Data

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A review of copula models for economic time series

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Modeling multivariate cybersecurity risks

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Detection of block-exchangeable structure in large-scale correlation matrices

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Copulas, credit portfolios, and the broken heart syndrome. An interview with David X. Li

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Statistical Methods for Financial Engineering

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A martingale approach to the copula-graphic estimator for the survival function under dependent censoring

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Asymptotic distributions of multivariate rank order statistics

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Mathematical Risk Analysis

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THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS

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Hierarchies of Archimedean copulas

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Nonparametric inference on multivariate versions of Blomqvist's beta and related measures of tail dependence

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Non-parametric Estimation of Tail Dependence

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On the identifiability of copulas in bivariate competing risks models

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On nonparametric measures of dependence for random variables

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Asymptotics of empirical copula processes under non-restrictive smoothness assumptions

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The empirical beta copula

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Nonparametric estimation of the tree structure of a nested Archimedean copula

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Inferences on the Association Parameter in Copula Models for Bivariate Survival Data

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Bivariate extreme statistics. I

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Modeling Longitudinal Data Using a Pair-Copula Decomposition of Serial Dependence

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Multivariate Dispersion Models Generated From Gaussian Copula

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Uncertainty quantification for the family-wise error rate in multivariate copula models

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Copula Modeling: An Introduction for Practitioners

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Bivariate option pricing using dynamic copula models

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Weak convergence and empirical processes. With applications to statistics

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Properties of the marginal survival functions for dependent censored data under an assumed Archimedean copula

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Model Selection and Semiparametric Inference for Bivariate Failure-Time Data

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Inference for elliptical copula multivariate response regression models

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Estimates of marginal survival for dependent competing risks based on an assumed copula

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Identifiers

Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.JMVA.2023.105278

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Sitelinks

Mathematics(1 entry)

mardi Publication:6200955

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