Conditional quantile reproducibility of multivariate distributions and simplified pair copula construction

DOI10.1137/S0040585X97T990319MaRDI QIDQ3389454zbMATH OpenOpenAlexFDO

Authors L. E. Melkumova, S. Ya. Shatskikh

Publication date 10 May 2021

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97t990319

zbMATH Keywords

conditional quantile reproducibilitycopulasimplified pair copula construction

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Multivariate distribution of statistics (62H10)

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Cites work

• Conditional probability distributions as transformations of the independence of random variables
• Copula theory and its applications. Proceedings of the workshop held in Warsaw, Poland, 25--26 September 2009
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 1484400 (Why is no real title available?)
• Limit theorem for the maximum of random variables connected by IT-copulas of Student's \(t\)-distribution
• On the simplified pair-copula construction -- simply useful or too simplistic?
• On three-parameter Grubbs' copula-function
• Pair-copula constructions of multiple dependence
• Probability density decomposition for conditionally dependent random variables modeled by vines
• Searching for optimal vine in pair-copula constructions
• Simplified pair copula constructions -- limitations and extensions
• Uncertainty Analysis with High Dimensional Dependence Modelling
• Vines -- a new graphical model for dependent random variables.

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(3)

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