On non-central squared copulas

DOI10.1016/J.SPL.2020.108704MaRDI QIDQ130005zbMATH OpenOpenAlexFDO

Authors Bouchra R. Nasri, Bouchra R. Nasri

Publication date June 2020

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2020.108704

zbMATH Keywords

chi-square copulasFisher copulanon-centrality parametersnon-monotonic dependencesquared copulastail behavior

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12)

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Cites work

• scientific article; zbMATH DE number 5849508 (Why is no real title available?)
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• An introduction to copulas.
• High-dimensional copula-based distributions with mixed frequency data
• Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
• On the family of multivariate chi-square copulas
• Semi-parametric copula-based models under non-stationarity
• Some comments on copula-based regression
• The t Copula and Related Copulas

Cited in

(7)

• Detecting departures from meta-ellipticity for multivariate stationary time series
• A general construction of multivariate dependence structures with nonmonotone mappings and its applications
• Matrix representation of copulas and quasi-copulas defined on non-square grids of the unit square
• NCSCopula
• CopulaInference
• Tests of serial dependence for multivariate time series with arbitrary distributions
• On the family of multivariate chi-square copulas

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Uses Software

• CDVine
• R

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