Copula parameter estimation using Blomqvist's beta

MaRDI QIDQ5262078zbMATH OpenFDO

Authors Christian Genest, Fanny Harvey, Alberto Carabarin-Aguirre

Publication date 13 July 2015

Full work available at URL http://journal-sfds.fr/article/view/165/

zbMATH Keywords

Archimedean copulaBlomqvist's betaextreme-value copulaKendall's taumeta-elliptical copula

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cited in

(18)

• A new parametric method of estimating the joint probability density
• A simple non-parametric goodness-of-fit test for elliptical copulas
• On nonparametric tests of multivariate meta-ellipticity
• On the class of truncation invariant bivariate copulas under constraints
• A new parametric method of estimating the joint probability density: revisited
• Detecting departures from meta-ellipticity for multivariate stationary time series
• Binary distributions of concentric rings
• Quantile spectral processes: asymptotic analysis and inference
• A bivariate geometric distribution allowing for positive or negative correlation
• Computation and estimation of reliability for some bivariate copulas with Pareto marginals
• Copula representation of bivariate L-moments: a new estimation method for multiparameter two-dimensional copula models
• Copulas based on Marshall-Olkin machinery
• Smoothed bootstrap methods for bivariate data
• Copulae: an overview and recent developments
• Estimating the Farlie-Gumbel-Morgenstern copula parameter: A simulation study of classical and informative Bayesian methods
• Multivariate tail dependence: further insights with an application to the Spanish banking sector
• Nonparametric inference on multivariate versions of Blomqvist's beta and related measures of tail dependence
• Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables

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