copula
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Copula (Multivariate Dependence with Copulas)
Classes (S4) of commonly used elliptical, Archimedean, extreme-value and other copula families, as well as their rotations, mixtures and asymmetrizations. Nested Archimedean copulas, related tools and special functions. Methods for density, distribution, random number generation, bivariate dependence measures, Rosenblatt transform, Kendall distribution function, perspective and contour plots. Fitting of copula models with potentially partly fixed parameters, including standard errors. Serial independence tests, copula specification tests (independence, exchangeability, radial symmetry, extreme-value dependence, goodness-of-fit) and model selection based on cross-validation. Empirical copula, smoothed versions, and non-parametric estimators of the Pickands dependence function.
Cited in
(only showing first 100 items - show all)- Efficient capital management using an internal model: a case of non-life insurance
- Application of copulas to multivariate control charts
- Copula-based risk management models for multivariable RMB exchange rate in the process of RMB internationalization
- A goodness-of-fit test for regular vine copula models
- Generalised joint regression for count data: a penalty extension for competitive settings
- Asymptotic analysis of the loss given default in the presence of multivariate regular variation
- Trivariate copulas on the MEWMA control chart
- Statistical arbitrage with vine copulas
- Copulas-based time series combined forecasters
- Multivariate copulas on the MCUSUM control chart
- Copula shrinkage and portfolio allocation in ultra-high dimensions
- Power and sample size calculation for paired right-censored data based on survival copula models
- Quantifying the impact of different copulas in a generalized CreditRisk\(^+\) framework. An empirical study
- Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models
- pyvine: the Python package for regular vine copula modeling, sampling and testing
- Test of symmetry based on copula function
- Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation
- Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables
- Joint and conditional dependence modelling of peak district heating demand and outdoor temperature: a copula-based approach
- A comparison of dependence function estimators in multivariate extremes
- Positive quadrant dependence testing and constrained copula estimation
- Nonparametric confidence intervals for the ratio of marginal hazard rates of paired survival times
- The copula directional dependence by stochastic volatility models
- A non-parametric test of exchangeability for extreme-value and left-tail decreasing bivariate copulas
- Selection of mixed copula for association modeling with tied observations
- Score tests for covariate effects in conditional copulas
- A copula-based method of classifying individuals into binary disease categories using dependent biomarkers
- Multiple event times in the presence of informative censoring: modeling and analysis by copulas
- A limit distribution of credit portfolio losses with low default probabilities
- Analyzing dependent data with vine copulas. A practical guide with R
- Positive quadrant dependence tests for copulas
- A simple, consistent estimator of SNP heritability from genome-wide association studies
- Power of depth-based nonparametric tests for multivariate locations
- Gaussian copula of stable random vectors and application
- Hierarchical Archimax copulas
- Some copula inference procedures adapted to the presence of ties
- Estimation of hierarchical Archimedean copulas as a shortest path problem
- Modified Gaussian pseudo-copula: applications in insurance and finance
- Stick-breaking representation and computation for normalized generalized gamma processes
- A copula transformation in multivariate mixed discrete-continuous models
- GEE for longitudinal ordinal data: comparing R-geepack, R-multgee, R-repolr, SAS-GENMOD, SPSS-GENLIN
- scientific article; zbMATH DE number 7660127 (Why is no real title available?)
- Tests of serial independence for continuous multivariate time series based on a Möbius decomposition of the independence empirical copula process
- Dependence properties and Bayesian inference for asymmetric multivariate copulas
- Rank-based inference tools for copula regression, with property and casualty insurance applications
- Vine copula graphical models in the construction of biological networks
- Compound unimodal distributions for insurance losses
- Generators of copulas and aggregation
- Integrated bank risk modeling: a bottom-up statistical framework
- Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems
- Selection of vine copulas
- Reliability assessment for products with two performance characteristics based on marginal stochastic processes and copulas
- Tests of mutual or serial independence of random vectors with applications
- On variability and interdependence of local porosity and local tortuosity in porous materials: a case study for sack paper
- Maximum likelihood inference for the multivariate t mixture model
- 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
- Nonparametric rank-based tests of bivariate extreme-value dependence
- Detecting breaks in the dependence of multivariate extreme-value distributions
- Spatial dependencies of wind power and interrelations with spot price dynamics
- Robust estimators and tests for bivariate copulas based on likelihood depth
- An estimator of the stable tail dependence function based on the empirical beta copula
- Flexible copula density estimation with penalized hierarchical B-splines
- Bivariate degradation modelling with marginal heterogeneous stochastic processes
- Assessing the reliability function of nanocomponents
- Model selection and model averaging after multiple imputation
- 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
- On tests for symmetry and radial symmetry of bivariate copulas towards testing for ellipticity
- Exceedance-based nonlinear regression of tail dependence
- Bivariate copulas on the Hotelling's \(T^2\) control chart
- A comparison between stochastic DEA and fuzzy DEA approaches: revisiting efficiency in Angolan banks
- Some robust approaches based on copula for monitoring bivariate processes and component-wise assessment
- Testing asymmetry in dependence with copula-coskewness
- Comparison of three semiparametric methods for estimating dependence parameters in copula models
- A semiparametric estimation of copula models based on the method of moments
- Shrinkage averaging estimation
- Interpoint distance tests for high-dimensional comparison studies
- Copula selection for graphical models in continuous estimation of distribution algorithms
- Testing the constancy of Spearman's rho in multivariate time series
- On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
- Dimension-wise scaled normal mixtures with application to finance and biometry
- On generalized elliptical quantiles in the nonlinear quantile regression setup
- Large-sample tests of extreme-value dependence for multivariate copulas
- Analysis of directional dependence using asymmetric copula-based regression models
- Estimating equations and diagnostic techniques applied to zero-inflated models for panel data
- Heavy-tailed longitudinal data modeling using copulas
- EVIM
- mnormt
- Linkages
- mvtnorm
- tseries
- CPOLY
- nacopula
- CORSIKA
- gcmr
- multcomp
- numDeriv
- gsl
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