Linear factor copula models and their properties

DOI10.1111/SJOS.12325MaRDI QIDQ4646954zbMATH OpenOpenAlexWikidataFDO

Authors Pavel Krupskii, Marc G. Genton

Publication date 3 January 2019

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/11343/284337

zbMATH Keywords

copulaextreme-value copulaheavy tailslinear factor structuretail asymmetry

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cited in

(9)

• Multivariate extreme value copulas with factor and tree dependence structures
• Modeling spatial tail dependence with Cauchy convolution processes
• Approximate likelihood with proxy variables for parameter estimation in high-dimensional factor copula models
• Conditional normal extreme-value copulas
• Structured factor copula models: theory, inference and computation
• A flexible and tractable class of one-factor copulas
• Factor copula models for multivariate data
• Factor copula models for replicated spatial data
• Estimation and inference in factor copula models with exogenous covariates

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