Modelling dependence

DOI10.1016/J.INSMATHECO.2007.01.008MaRDI QIDQ939341zbMATH OpenOpenAlexFDO

Authors Wilbert C. M. Kallenberg

Publication date 22 August 2008

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2007.01.008

zbMATH Keywords

copulaLegendre polynomialsexponential familycontamination familynonlinear correlation

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Estimating copula densities, using model selection techniques
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• Copula model evaluation based on parametric bootstrap
• Dependence modeling with copulas
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Cites work

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• Test Statistics Derived as Components of Pearson's Phi-Squared Distance Measure

Cited in

(15)

• Estimating copula densities, using model selection techniques
• Modeling of acoustic signal energies with a generalized Frank copula. A linguistic conjecture is reviewed
• Nonparametric universal copula modeling
• A diagnostic test for specification of copulas under censorship
• Domain of Dependence
• Discussion about inaccuracy measure in information theory using co-copula and copula dual functions
• Modeling dependence based on mixture copulas and its application in risk management
• Dependence models arising from the Lagrangian probability distributions
• Confidence band for expectation dependence with applications
• scientific article; zbMATH DE number 954238 (Why is no real title available?)
• Multivariate density estimation using dimension reducing information and tail flattening trans\-formations
• Potential modeling: conditional independence matters
• Copula model evaluation based on parametric bootstrap
• scientific article; zbMATH DE number 1085999 (Why is no real title available?)
• Some generalizations concerning inaccuracy measures

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• QRM

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