Conditional expectation formulae for copulas

DOI10.1111/J.1467-842X.2007.00499.XMaRDI QIDQ6573728zbMATH OpenFDO

Authors Glenis J. Crane, John van der Hoek

Publication date 17 July 2024

Published in Australian \& New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/J.1467-842X.2007.00499.X

zbMATH Keywords

Archimedean copulasconditional expectationFarlie-Gumbel-Morgenstern copulas

Mathematics Subject Classification ID

Markov processes (60Jxx) Nonparametric inference (62Gxx) Multivariate analysis (62Hxx)

Cites work

• An introduction to copulas. Properties and applications
• Copulas and Markov processes
• Correlation structure in Farlie-Gumbel-Morgenstern distributions
• Correlation structure in iterated Farlie-Gumbel-Morgenstern distributions
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 2053028 (Why is no real title available?)
• Modifications of the Farlie-Gumbel-Morgenstern distributions. A tough hill to climb.
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Understanding Relationships Using Copulas

Cited in

(10)

• Dealing With Endogeneity in Threshold Models Using Copulas
• Estimating causal effects from nonparanormal observational data
• Copula-based regression estimation in the presence of outliers
• Parametric and semiparametric approaches for copula-based regression estimation
• Copula-based estimation of causal effects in multiple linear and path analysis models
• Multivariate copula-based conditional quantiles: analytic higher-order moments and ratio estimation approaches
• A new copula regression model for hierarchical data
• Copula-based expectile regression: estimation and inference
• Copula-based estimation of health inequality measures
• A copula-based joint regression analysis including Granger causality

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