Distorted Copulas: Constructions and Tail Dependence
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Cites work
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- A Multivariate Definition for Increasing Hazard Rate Distribution Functions
- A generalization of the Mulholland inequality for continuous Archimedean t-norms
- A method to obtain new copulas from a given one
- A new class of symmetric bivariate copulas
- Bivariate survival models with Clayton aging functions
- Classes of orderings of measures and related correlation inequalities. I. Multivariate totally positive distributions
- Classes of orderings of measures and related correlation inequalities. II. Multivariate reverse rule distributions
- Comparison methods for stochastic models and risks
- Convex Ordering for Bivariate Distributions
- Copula and semicopula transforms
- Copula convergence theorems for tail events.
- Inequalities: theory of majorization and its applications
- Kendall distributions and level sets in bivariate exchangeable survival models
- Lower tail dependence for Archimedean copulas: characterizations and pitfalls
- Multivariate distributions defined in terms of contours
- Non-additive measure and integral
- On a class of transformations of copulas and quasi-copulas
- On the multivariate probability integral transformation
- Relations among univariate aging, bivariate aging and dependence for exchangeable lifetimes
- Semi-copulas, capacities and families of level sets
- Semilinear copulas
- Stochastic orders
- Tail dependence from a distributional point of view
- Tails of multivariate Archimedean copulas
- Using distortions of copulas to price synthetic CDOs
Cited in
(34)- A note on distortion effects on the strength of bivariate copula tail dependence
- On Generators in Archimedean Copulas
- Kendall distributions and level sets in bivariate exchangeable survival models
- On bivariate Kumaraswamy-distorted copulas
- A vague multidimensional dependency structure: conditional versus unconditional fuzzy copula models
- FGM generated Archimedean copulas with concave multiplicative generators
- Distorted mix method for constructing copulas with tail dependence
- Distortion representations of multivariate distributions
- Transformation of a copula using the associated co-copula
- Copulas, uncertainty, and false discovery rate control
- Stochastic distortion and its transformed copula
- On comprehensive families of copulas involving the three basic copulas and transformations thereof
- Solution to an open problem about a transformation on the space of copulas
- BIVARIATE MARSHALL–OLKIN EXPONENTIAL SHOCK MODEL
- On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
- A class of bivariate copula mappings
- New families of bivariate copulas via unit Weibull distortion
- Joint modelling of the body and tail of bivariate data
- Marshall-Olkin type copulas generated by a global shock
- A generalized bivariate lifetime distribution based on parallel-series structures.
- Hyper-dependence, hyper-ageing properties and analogies between them: a semigroup-based approach
- A family of transformed copulas with a singular component
- Semi-copulas, capacities and families of level sets
- On tail dependence coefficients of transformed multivariate Archimedean copulas
- On the distortion of a copula and its margins
- Multivariate composite copulas
- Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory
- New constructions of diagonal patchwork copulas
- Extraction dependence structure of distorted copulas via a measure of dependence
- Estimating the parameters of a dependent model and applying it to environmental data set
- scientific article; zbMATH DE number 5818905 (Why is no real title available?)
- Distorted copulas
- Copulas with given values on the tails
- A class of bivariate independence copula transformations
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