Dependence modeling with copulas
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Characterization and structure theory for multivariate probability distributions; copulas (62H05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Multivariate analysis (62Hxx) Research exposition (monographs, survey articles) pertaining to statistics (62-02)
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)- Covariance model simulation using regular vines
- Construction of a class of copulas with horizontal or vertical section of a homographic function
- scientific article; zbMATH DE number 7670293 (Why is no real title available?)
- scientific article; zbMATH DE number 7088128 (Why is no real title available?)
- Factor copula models for right-censored clustered survival data
- Risk aggregation in non-life insurance: standard models vs. internal models
- Relative ageing of series and parallel systems: effects of dependence and heterogeneity among components
- Local Likelihood Estimation of Complex Tail Dependence Structures, Applied to U.S. Precipitation Extremes
- Statistical models and methods for dependence in insurance data
- Statistical pattern recognition using Gaussian copula
- An application of vine-based regression to flight landing data
- Theoretical considerations when simulating data from the g‐and‐h family of distributions
- Simulating copulas. Stochastic models, sampling algorithms and applications. With contributions by Claudia Czado, Elke Korn, Ralf Korn and Jakob Stöber
- Multiple inflated negative binomial regression for correlated multivariate count data
- Knowledge Learning of Insurance Risks Using Dependence Models
- A copulas-based approach to modeling dependence in decision trees
- Copula based Bayesian data analysis of loss reserving
- Recent advances in copula-based methods for dependent censoring (invited article)
- Estimating non-simplified vine copulas using penalized splines
- Vine copula based structural equation models
- A copula-based approach to statistical modelling of solar irradiance
- Sampling from conditional distributions of simplified vines
- Quasi-random numbers for copula models
- Subsampling MCMC -- an introduction for the survey statistician
- Risk modeling of property insurance claims from weather events
- Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation
- Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables
- Multivariate medial correlation with applications
- Variational inference for high dimensional structured factor copulas
- Directional bivariate quantiles: a robust approach based on the cumulative distribution function
- Prediction based on conditional distributions of vine copulas
- Generalized Pareto copulas: a key to multivariate extremes
- Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
- Modeling temporal dependence of longitudinal data: use of multivariate geometric skew-normal copula
- A new copula regression model for hierarchical data
- On the exploration of regression dependence structures in multidimensional contingency tables with ordinal response variables
- Principal stratification for quantile causal effects under partial compliance
- Multivariate models for dependent clusters of variables with conditional independence given aggregation variables
- Singular components of shock model copulas
- A bivariate failure time model with random shocks and mixed effects
- A comparison of latent space modeling techniques in a plain-vanilla autoencoder setting
- Copula-based measures of asymmetry between the lower and upper tail probabilities
- Selection of mixed copula for association modeling with tied observations
- Extremal behavior of diagonal and Bertino copulas
- Controlling the false discovery rate by a latent Gaussian copula knockoff procedure
- Model distances for vine copulas in high dimensions
- Analyzing dependent data with vine copulas. A practical guide with R
- Characterizations of bivariate conic, extreme value, and Archimax copulas
- An unsupervised feature extraction and fusion framework for multi-source data based on copula theory
- Book Reviews
- FGM generated Archimedean copulas with concave multiplicative generators
- Limitations and performance of three approaches to Bayesian inference for Gaussian copula regression models of discrete data
- On additivity of tail comonotonic risks
- On exact distribution for multivariate weighted distributions and classification
- Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
- Nonparametric estimation of simplified vine copula models: comparison of methods
- Non-exchangeability of copulas arising from shock models
- Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition
- Introduction to extreme value theory: applications to risk analysis and management
- Allocations of cold standbys to series and parallel systems with dependent components
- Nonparametric universal copula modeling
- Bayesian bivariate survival analysis using the power variance function copula
- Residual-based cumulative sum charts to monitor time series of counts via copula-based Markov models
- Fitting time series models to fisheries data to ascertain age
- The topological structures of the spaces of copulas and subcopulas
- Conditional normal extreme-value copulas
- Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts
- Extremal dependence concepts
- Modelling count data via copulas
- A wee exploration of techniques for risk assessments of extreme events. EVA (2023) Conference Data Challenge: Wee Extremes group
- On truncation invariant copulas and their estimation
- ON THE FUZZY SET THEORY AND AGGREGATION FUNCTIONS: HISTORY AND SOME RECENT ADVANCES
- Copula theory and probabilistic sensitivity analysis: is there a connection?
- A diagnostic test for specification of copulas under censorship
- CD-vine model for capturing complex dependence
- A weak version of bivariate lack of memory property
- Stochastic species abundance models involving special copulas
- Tail densities of skew-elliptical distributions
- On the singular components of a copula
- scientific article; zbMATH DE number 7660127 (Why is no real title available?)
- Copula diagnostics for asymmetries and conditional dependence
- Bi-free extreme values
- Distortion representations of multivariate distributions
- Univariate and multivariate mixtures of exponential distributions, with applications in risk modeling
- A convenient infinite dimensional framework for generative adversarial learning
- Approximate Bayesian computation for copula estimation
- The new family of Fisher copulas to model upper tail dependence and radial asymmetry: properties and application to high-dimensional rainfall data
- Nonparametric estimation of copula regression models with discrete outcomes
- Generalized information matrix tests for copulas
- Vine copula regression for observational studies
- Spearman's footrule and Gini's gamma: local bounds for bivariate copulas and the exact region with respect to Blomqvist's beta
- Selection of sparse vine copulas in high dimensions with the Lasso
- Some properties and applications of bivariate renewal Schur-constant models
- Analysis of multivariate longitudinal data using dynamic lasso-regularized copula models with application to large pediatric cardiovascular studies
- Hedging cryptos with Bitcoin futures
- Estimation of risk contributions with MCMC
- An one-factor copula mixed model for joint meta-analysis of multiple diagnostic tests
- Assessing hail risk for property insurers with a dependent marked point process
- A compendium of copulas
- On a bivariate copula with both upper and lower full-range tail dependence
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