Elements of Copula Modeling with R
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Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Software, source code, etc. for problems pertaining to statistics (62-04) Point estimation (62F10) Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
Recommendations
- Dependence modeling with copulas
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- Copula modeling: An introduction for practitioners
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- Copula-Based Regression Estimation and Inference
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- scientific article; zbMATH DE number 7578286
- Copula modeling for data with ties
- Estimating copula densities, using model selection techniques
- An empirical analysis of multivariate copula models
Cited in
(61)- Optimal rates for independence testing via U-statistic permutation tests
- Analyzing dependent data with vine copulas. A practical guide with R
- Right-truncated Archimedean and related copulas
- Copula shrinkage and portfolio allocation in ultra-high dimensions
- On a bivariate copula for modeling negative dependence: application to New York air quality data
- Smooth bootstrapping of copula functionals
- A new parametric method of estimating the joint probability density: revisited
- Extremal behavior of diagonal and Bertino copulas
- Study of partial and average conditional Kendall's tau
- Subsampling (weighted smooth) empirical copula processes
- R package to handle Archimax or any user-defined continuous copula construction: \texttt{acopula}
- Testing the constancy of Spearman's rho in multivariate time series
- Simulating copulas. Stochastic models, sampling algorithms and applications. With contributions by Claudia Czado, Elke Korn, Ralf Korn and Jakob Stöber
- Uncertainty Analysis with High Dimensional Dependence Modelling
- Modeling Dependencies with Copulae
- Copula density estimation by finite mixture of parametric copula densities
- R routines for performing estimation and statistical process control under copula-based time series models
- Quantifying the impact of different copulas in a generalized CreditRisk\(^+\) framework. An empirical study
- Using copulas for modeling the dependence between tree height and diameter at breast height
- Efficient capital management using an internal model: a case of non-life insurance
- scientific article; zbMATH DE number 7660127 (Why is no real title available?)
- Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions
- Joint modelling of longitudinal measurements and survival times via a multivariate copula approach
- A Gaussian copula joint model for longitudinal and time-to-event data with random effects
- Multi‐purpose open‐end monitoring procedures for multivariate observations based on the empirical distribution function
- A new class of copulas having dependence range larger than FGM-type copulas
- Stressing dynamic loss models
- Euler characteristic surfaces
- Applications of Multivariate Quasi-Random Sampling with Neural Networks
- Modeling and pricing cyber insurance. Idiosyncratic, systematic, and systemic risks
- Dependence Model Assessment and Selection with DecoupleNets
- A class of smooth, possibly data-adaptive nonparametric copula estimators containing the empirical beta copula
- Copula modeling from Abe Sklar to the present day
- Portfolio optimization based on artificial neural network and GARCH-EVT-copula models
- Hierarchical Archimedean copulas
- The nexus between black and digital gold: evidence from US markets
- Copula-like inference for discrete bivariate distributions with rectangular supports
- Copulae: an overview and recent developments
- Identifying important gene signatures of BMI using network structure-aided nonparametric quantile regression
- Median and quantile conditional copulas
- Copula Modeling of Serially Correlated Multivariate Data with Hidden Structures
- Fast inference in copula models with categorical explanatory variables using the one-step procedure
- Advances in multivariate Archimedean copula modeling
- Copula-based hierarchical clustering for complete dependence
- Precise large deviations for sums of dependent random variables with subexponential distribution
- Not monotonically correlated, but dependent: A family of normal mode copulas
- Asymptotic behavior of the empirical checkerboard copula process for binary data: an educational presentation
- Identifiability of polychoric models with latent elliptical distributions
- On Misuses of the Kolmogorov–Smirnov Test for One-Sample Goodness-of-Fit
- Copula-based estimation of causal effects in multiple linear and path analysis models
- Assessing hail risk for property insurers with a dependent marked point process
- A class of semiparametric models for bivariate survival data
- Hierarchical clustering of time series with Wasserstein distance
- Unobserved heterogeneity in threshold regression based on the hitting times of a reflected Brownian motion for recurrent hypoglycemia
- Novel tau-informed initialization for maximum likelihood estimation of copulas with discrete margins
- Copula-based estimation of meanimiles of aggregated risks
- A copula-based joint regression analysis including Granger causality
- Bayesian multivariate models for bounded directional data
- A time-varying bivariate copula joint model for longitudinal and time-to-event data
- W-transforms: uniformity-preserving transformations and induced dependence structures
- Bernstein's inequality with a proper cover and upper bound of portfolio VaR and TVaR
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