Copula-based regression models: a survey

DOI10.1016/J.JSPI.2009.05.023MaRDI QIDQ840744zbMATH OpenOpenAlexFDO

Authors Nikolai Kolev, Delhi Paiva

Publication date 14 September 2009

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2009.05.023

zbMATH Keywords

copula theoryestimationFrank copulaGaussian copulainsurance datalongitudinal datasemiparametric specificationstime series analysistransition modelsunobserved heterogeneity

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites work

• A flexible class of parametric transition regression models based on copulas: application to poliomyelitis incidence
• A GENERAL METHOD TO ESTIMATE CORRELATED DISCRETE RANDOM VARIABLES
• A Primer on Copulas for Count Data
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• Credibility Using Copulas
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• Multivariate Dispersion Models Generated From Gaussian Copula
• Multivariate distribution models with generalized hyperbolic margins
• On grade transformation and its implications for copulas
• On rank correlation measures for non-continuous random variables
• On the performance of a discriminant function
• Regression in a bivariate copula model

Cited in

(37)

• Bivariate copula additive models for location, scale and shape
• The effectiveness of TARP-CPP on the US banking industry: a new copula-based approach
• Gaussian copula marginal regression
• Rank-based inference tools for copula regression, with property and casualty insurance applications
• Total loss estimation using copula-based regression models
• Accounting for endogeneity in regression models using copulas: a step-by-step guide for empirical studies
• Limitations and performance of three approaches to Bayesian inference for Gaussian copula regression models of discrete data
• ROS regression: integrating regularization with optimal scaling regression
• Copula regression models for discrete and mixed bivariate responses
• Sparse conditional copula models for structured output regression
• Using copulas to introduce dependence in dose-response modeling of multiple binary endpoints
• Flexible bivariate INAR(1) processes using copulas
• Copula-based Partial Correlation Screening: a Joint and Robust Approach
• Convolution copula econometrics
• Extending the inference function for augmented margins method to implement trivariate Clayton copula-based SUR Tobit models
• A compendium of copulas
• Bayesian semiparametric copula estimation with application to psychiatric genetics
• Quantile association for bivariate survival data
• Modeling multivariate count data using copulas
• Book Reviews
• Elements of Copula Modeling with R
• Copula-based measurement error models
• Boosting Distributional Copula Regression
• Estimation and inference in factor copula models with exogenous covariates
• Copula-based link functions in binary regression models
• Copula modeling from Abe Sklar to the present day
• A generalized beta copula with applications in modeling multivariate long-tailed data
• Solving Estimating Equations With Copulas
• Efficient MCMC estimation of some elliptical copula regression models through scale mixtures of normals
• Dealing With Endogeneity in Threshold Models Using Copulas
• Addressing endogeneity issues in a spatial autoregressive model using copulas
• Parametric and semiparametric approaches for copula-based regression estimation
• On the weak convergence and the uniform-in-bandwidth consistency of the general conditional U-processes based on the copula representation: multivariate setting
• Copula-based estimation of causal effects in multiple linear and path analysis models
• A copula based BINAR(1) process with applications
• Copula-based mixtures of regression models for multivariate response data
• Copula-based models in compositional data analysis

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• QRM
• CAViaR

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