copula

swMATH7944MaRDI QIDQ19960FDOQ19960

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Official website: https://www.jstatsoft.org/article/view/v021i04

Cited In (only showing first 100 items - show all)

• Statistical arbitrage with vine copulas
• Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models
• Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation
• Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables
• A comparison of dependence function estimators in multivariate extremes
• A limit distribution of credit portfolio losses with low default probabilities
• A simple, consistent estimator of SNP heritability from genome-wide association studies
• Some copula inference procedures adapted to the presence of ties
• Estimation of hierarchical Archimedean copulas as a shortest path problem
• Title not available (Why is that?)
• GEE for longitudinal ordinal data: comparing R-geepack, R-multgee, R-repolr, SAS-GENMOD, SPSS-GENLIN
• Dependence properties and Bayesian inference for asymmetric multivariate copulas
• Rank-based inference tools for copula regression, with property and casualty insurance applications
• Compound unimodal distributions for insurance losses
• Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems
• Selection of vine copulas
• On the estimation of Pareto fronts from the point of view of copula theory
• Risk- and value-based management for non-life insurers under solvency constraints
• An estimator of the stable tail dependence function based on the empirical beta copula
• On weak conditional convergence of bivariate Archimedean and extreme value copulas, and consequences to nonparametric estimation
• Weak convergence of the weighted empirical beta copula process
• Simultaneous inference for Kendall's tau
• Exceedance-based nonlinear regression of tail dependence
• Some robust approaches based on copula for monitoring bivariate processes and component-wise assessment
• Analysis of directional dependence using asymmetric copula-based regression models
• A new GEE method to account for heteroscedasticity using asymmetric least-square regressions
• Two simple algorithms on linear combination of multiple biomarkers to maximize partial area under the ROC curve
• Penalized marginal likelihood estimation of finite mixtures of Archimedean copulas
• Nonparametric inference for max-stable dependence
• Smooth bootstrapping of copula functionals
• Copula-based slope reliability analysis using the failure domain defined by the \(g\)-line
• Smooth copula-based estimation of the conditional density function with a single covariate
• How general is the Vale-Maurelli simulation approach?
• A software review for extreme value analysis
• Tests for comparison of multiple endpoints with application to omics data
• Capacity management under uncertainty with inter-process, intra-process and demand interdependencies in high-flexibility environments
• A subcopula based dependence measure.
• expectgee
• expectreg
• hidetify
• ABCExtremes
• eventstudies
• Inference for asymptotically independent samples of extremes
• Using copulas to model time dependence in stochastic frontier models
• A vine copula approach for regression analysis of bivariate current status data with informative censoring
• Adaptive importance sampling for simulating copula-based distributions
• Extraction dependence structure of distorted copulas via a measure of dependence
• Truncation invariant copulas and a testing procedure
• Combining cumulative sum change-point detection tests for assessing the stationarity of univariate time series
• A mixture of regular vines for multiple dependencies
• Multivariate goodness-of-fit tests based on Wasserstein distance
• A goodness-of-fit test for regular vine copula models
• Application of copulas to multivariate control charts
• Quantifying the impact of different copulas in a generalized CreditRisk\(^+\) framework. An empirical study
• pyvine: the Python package for regular vine copula modeling, sampling and testing
• poolr
• Test of symmetry based on copula function
• Positive quadrant dependence testing and constrained copula estimation
• ellipticalsymmetry
• Score tests for covariate effects in conditional copulas
• Gaussian copula of stable random vectors and application
• Positive quadrant dependence tests for copulas
• Hierarchical Archimax copulas
• An overview of nonparametric tests of extreme-value dependence and of some related statistical procedures
• A copula transformation in multivariate mixed discrete-continuous models
• Stick-breaking representation and computation for normalized generalized gamma processes
• Tests of serial independence for continuous multivariate time series based on a Möbius decomposition of the independence empirical copula process
• Generators of copulas and aggregation
• Integrated bank risk modeling: a bottom-up statistical framework
• Tests of mutual or serial independence of random vectors with applications
• A semiparametric estimation procedure for multi-parameter Archimedean copulas based on the L-moments method
• Maximum likelihood inference for the multivariate \(t\) mixture model
• Detecting breaks in the dependence of multivariate extreme-value distributions
• Nonparametric rank-based tests of bivariate extreme-value dependence
• Robust estimators and tests for bivariate copulas based on likelihood depth
• Spatial dependencies of wind power and interrelations with spot price dynamics
• Flexible copula density estimation with penalized hierarchical B-splines
• Model selection and model averaging after multiple imputation
• On tests for symmetry and radial symmetry of bivariate copulas towards testing for ellipticity
• A comparison between stochastic DEA and fuzzy DEA approaches: revisiting efficiency in Angolan banks
• Testing asymmetry in dependence with copula-coskewness
• A semiparametric estimation of copula models based on the method of moments
• On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
• Shrinkage averaging estimation
• Comparison of three semiparametric methods for estimating dependence parameters in copula models
• Copula selection for graphical models in continuous estimation of distribution algorithms
• Fast large-sample goodness-of-fit tests for copulas
• Testing the constancy of Spearman's rho in multivariate time series
• On generalized elliptical quantiles in the nonlinear quantile regression setup
• Estimating equations and diagnostic techniques applied to zero-inflated models for panel data
• A general approach to generate random variates for multivariate copulae
• Heavy-tailed longitudinal data modeling using copulas
• Frequentist model averaging with missing observations
• Model selection of copulas: AIC versus a cross validation copula information criterion
• Graphical tests of independence for general distributions
• Probabilistic slope stability analysis by a copula-based sampling method
• ARCHModels.jl
• bvcopula
• pyvine
• qad

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