Quantile curves and dependence structure for bivariate distributions

DOI10.1016/J.CSDA.2006.08.017zbMATH Open1162.62362OpenAlexW2037227481MaRDI QIDQ1020182FDOQ1020182

Authors: J. Martínez 

Publication date: 29 May 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.08.017

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zbMATH Keywords

copulatest for independencebivariate quantilecentral regionpositive or negative dependence

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cites Work

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Cited In (22)

• Dependence structure of some bivariate distributions
• Estimation of multivariate conditional-tail-expectation using Kendall's process
• Directional bivariate quantiles: a robust approach based on the cumulative distribution function
• Measurement of bivariate risks by the north-south quantile points approach
• Bivariate residual entropy function: A quantile approach
• Estimation of extreme quantiles conditioning on multivariate critical layers
• Simultaneous estimation of quantile curves using quantile sheets
• Bivariate Quantile Functions and their Applications to Reliability Modelling
• Estimators based on trimmed Kendall's tau in multivariate copula models
• Estimating covariate functions associated to multivariate risks: a level set approach
• Estimation of the multivariate conditional tail expectation for extreme risk levels: illustration on environmental data sets
• Depth level set estimation and associated risk measures
• On the estimation of extreme directional multivariate quantiles
• Nonparametric tests for tail monotonicity
• On multivariate extensions of value-at-risk
• Vector-valued tail value-at-risk and capital allocation
• A directional multivariate value at risk
• On a new NBUE property in multivariate sense: an application
• An introduction to copula-based bivariate reliability concepts
• Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory
• On some properties of two vector-valued VaR and CTE multivariate risk measures for Archimedean copulas
• Directional multivariate extremes in environmental phenomena

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