Dependence modeling with copulas
From MaRDI portal
Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Multivariate analysis (62Hxx)
Recommendations
- Analyzing dependent data with vine copulas. A practical guide with R
- Factor copula models for multivariate data
- Simulating copulas. Stochastic models, sampling algorithms and applications. With contributions by Claudia Czado, Elke Korn, Ralf Korn and Jakob Stöber
- An introduction to copulas.
- Pair-copula constructions of multiple dependence
Cited in
(only showing first 100 items - show all)- Stationary vine copula models for multivariate time series
- Hierarchical Archimedean copulas through multivariate compound distributions
- Characterizations of bivariate conic, extreme value, and Archimax copulas
- Nonparametric estimation of simplified vine copula models: comparison of methods
- On truncation invariant copulas and their estimation
- Dependence properties of conditional distributions of some copula models
- A weak version of bivariate lack of memory property
- Copula-based measurement of interdependence for discrete distributions
- Bayesian bivariate survival analysis using the power variance function copula
- Functional equations involving Sibuya's dependence function
- Multivariate models for dependent clusters of variables with conditional independence given aggregation variables
- Diagonal plane sections of trivariate copulas
- On a bivariate copula with both upper and lower full-range tail dependence
- Copula-based measures of reflection and permutation asymmetry and statistical tests
- Extreme-value limit of the convolution of exponential and multivariate normal distributions: link to the Hüsler-Reiß distribution
- On multivariate asymmetric dependence using multivariate skew-normal copula-based regression
- A semiparametric and location-shift copula-based mixture model
- Covariance model simulation using regular vines
- Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
- \(D_s\)-optimality in copula models
- Vine copulas for mixed data: multi-view clustering for mixed data beyond meta-Gaussian dependencies
- On tail dependence coefficients of transformed multivariate Archimedean copulas
- Model distances for vine copulas in high dimensions
- Estimating non-simplified vine copulas using penalized splines
- Vine copula approximation: a generic method for coping with conditional dependence
- An asymptotic characterization of hidden tail credit risk with actuarial applications
- Analyzing dependent data with vine copulas. A practical guide with R
- Copula theory and probabilistic sensitivity analysis: is there a connection?
- Multivariate extreme value copulas with factor and tree dependence structures
- Efron's monotonicity property for measures on \(\mathbb{R}^2\)
- Expert judgement for dependence in probabilistic modelling: a systematic literature review and future research directions
- Extremal dependence concepts
- Probabilistic analysis of solar power supply using D-vine copulas based on meteorological variables
- Sequential truncation of \(R\)-vine copula mixture model for high-dimensional datasets
- Non-exchangeability of copulas arising from shock models
- Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition
- Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
- Model selection in sparse high-dimensional vine copula models with an application to portfolio risk
- Introduction to extreme value theory: applications to risk analysis and management
- Prediction based on conditional distributions of vine copulas
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
- Generalized Pareto copulas: a key to multivariate extremes
- Bounds on distributional treatment effect parameters using panel data with an application on job displacement
- Reflected maxmin copulas and modeling quadrant subindependence
- A mixture of regular vines for multiple dependencies
- Multivariate distributions of correlated binary variables generated by pair-copulas
- Dependence structure estimation using copula recursive trees
- Inducing a desired value of correlation between two point-scale variables: a two-step procedure using copulas
- Copula-based Black-Litterman portfolio optimization
- On copulas of self-similar Ito processes
- New results on perturbation-based copulas
- Testing for changes in the tail behavior of Brown-Resnick Pareto processes
- Effective estimation algorithm for parameters of multivariate Farlie-Gumbel-Morgenstern copula
- Multivariate failure time distributions derived from shared frailty and copulas
- Sample selection models with monotone control functions
- Statistical dependence: beyond Pearson's
- Baire category results for stochastic orders
- Parameter estimation for multi-state coherent series and parallel systems with positively quadrant dependent models
- Distortion representations of multivariate distributions
- Total positivity of copulas from a Markov kernel perspective
- Multiple inflated negative binomial regression for correlated multivariate count data
- Copula-based measures of asymmetry between the lower and upper tail probabilities
- Selection of mixed copula for association modeling with tied observations
- Bayesian empirical likelihood inference for the generalized binomial AR(1) model
- Limitations and performance of three approaches to Bayesian inference for Gaussian copula regression models of discrete data
- Joint inference on extreme expectiles for multivariate heavy-tailed distributions
- A new class of copula regression models for modelling multivariate heavy-tailed data
- Dimension-wise scaled normal mixtures with application to finance and biometry
- Stochastic species abundance models involving special copulas
- Coordinate-wise transformation of probability distributions to achieve a Stein-type identity
- Analysis of ordinal and continuous longitudinal responses using pair copula construction
- On identification and non-normal simulation in ordinal covariance and item response models
- On the asymptotic covariance of the multivariate empirical copula process
- On Copula-Itô processes
- On the quantification and efficient propagation of imprecise probabilities with copula dependence
- On the structure of exchangeable extreme-value copulas
- Risk aggregation in non-life insurance: standard models vs. internal models
- Vine copula regression for observational studies
- Directional bivariate quantiles: a robust approach based on the cumulative distribution function
- Relative variation indexes for multivariate continuous distributions on \([0,\infty)^k\) and extensions
- A Bayesian hierarchical copula model
- On structural properties of an asymmetric copula family and its statistical implication
- Data-driven polynomial chaos expansion for machine learning regression
- Pair-copula models for analyzing family data
- Extremal behavior of diagonal and Bertino copulas
- Spearman's footrule and Gini's gamma: local bounds for bivariate copulas and the exact region with respect to Blomqvist's beta
- Singular components of shock model copulas
- Conditional normal extreme-value copulas
- Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case
- On exploratory analytic method for multi-way contingency tables with an ordinal response variable and categorical explanatory variables
- Schur-constant and related dependence models, with application to ruin probabilities
- Stationary distributions for two-dimensional sticky Brownian motions: exact tail asymptotics and extreme value distributions
- A family of cumulative hazard functions and their frailty connections
- Polynomial bivariate copulas of degree five: characterization and some particular inequalities
- Statistical detection and classification of background risks affecting inputs and outputs
- Weak comonotonicity
- A journey beyond the Gaussian world. An interview with Harry Joe
- Bi-free extreme values
- M-vine decomposition and VAR(1) models
- Constructing copulas from shock models with imprecise distributions
This page was built for publication: Dependence modeling with copulas
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3190362)
