An introduction to copulas. Properties and applications
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Multivariate analysis (62H99) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Axioms; other general questions in probability (60A05)
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(only showing first 100 items - show all)- Robust distributed maximum likelihood estimation with dependent quantized data
- On recursive Bayesian predictive distributions
- Shift invariant binary aggregation operators.
- Joint cumulative distribution functions for Dempster-Shafer belief structures using copulas
- Fisher information and the Kullback-Leibler distance in concomitants of generalized order statistics under iterated FGM family
- Random first-order linear discrete models and their probabilistic solution: a comprehensive study
- Bivariate analysis of survivorship and persistency
- On two dependent individual risk models.
- Extendibility of Marshall-Olkin distributions and inverse Pascal triangles
- Love and death: a Freund model with frailty
- Kusuoka representations of coherent risk measures in general probability spaces
- Hutchinson -- Lai's conjecture for bivariate extreme value copulas.
- Bell-type inequalities for bivariate maps on orthomodular lattices
- Copula credibility for aggregate loss models
- Copulae on products of compact Riemannian manifolds
- Modeling cause-of-death mortality using hierarchical Archimedean copula
- A generalization of the Archimedean class of bivariate copulas
- 2-increasing binary aggregation operators
- Statistical properties of parametric estimators for Markov chain vectors based on copula models
- On some construction methods for 1-Lipschitz aggregation functions
- Construction of measure by given projections
- Best-possible bounds on sets of bivariate distribution functions
- Archimedean copulas with applications to VaR estimation
- A bayesian estimator for the dependence function of a bivariate extreme‐value distribution
- Modelling the joint distribution of competing risks survival times using copula functions
- How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders
- Copula Component Analysis
- A generalized linear mixed model for longitudinal binary data with a marginal logit link function
- Quasi conjunction, quasi disjunction, t-norms and t-conorms: probabilistic aspects
- Link-save trading
- Empirical likelihood for non-smooth criterion functions
- On the recovery of joint distributions from limited information
- On a new construction of 1-Lipschitz aggregation functions, quasi-copulas and copulas
- Measure-based aggregation operators.
- On linear and quadratic constructions of aggregation functions
- Estimating the probability of widespread flood events
- Copula and s-map on a quantum logic
- A semiparametric test of independence in copula models for censored data
- Dependence and the asymptotic behavior of large claims reinsurance
- Nonparametric measures of dependence for biometric data studies
- Copulas with maximum entropy
- Multivariate extreme value theory and its usefulness in understanding risk
- Bounds on the value-at-risk for the sum of possibly dependent risks
- Lipschitz continuity of triangular subnorms
- Intervals of 1-Lipschitz aggregation operators, quasi-copulas, and copulas with given affine section
- Lipschitzian De Morgan triplets of fuzzy connectives
- Archimax copulas and invariance under transformations
- A generalized beta copula with applications in modeling multivariate long-tailed data
- Modelling dependence structure with Archimedean copulas and applications to the iTraxx CDS index
- Types of dependence and time-dependent association between two lifetimes in single parameter copula models
- On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
- Estimation and tests of independence in copula models via divergences
- Eliciting Dirichlet and Gaussian copula prior distributions for multinomial models
- Transition choice probabilities in logit
- On distance distribution functions-valued submeasures related to aggregation functions
- Portfolio risk assessment using multivariate extreme value methods
- Measures of information in order statistics and their concomitants for the single iterated Farlie-Gumbel-Morgenstern bivariate distribution
- Parametric characterization of aggregation functions
- The Notions of Overlap and Grouping Functions
- T-evaluators and S-evaluators
- Combining various types of belief structures
- Worst VaR scenarios
- Mining and visualising ordinal data with non-parametric continuous BBNs
- Asymptotic results for over-dispersed operational risk by using the asymptotic expansion method
- Joint survival probability via truncated invariant copula
- Extreme VaR scenarios in higher dimensions
- The additive hazard mixing models
- On tail dependence coefficients of transformed multivariate Archimedean copulas
- A new family of positive quadrant dependent bivariate distributions
- Modeling liquid association
- Regression Survival Analysis with an Assumed Copula for Dependent Censoring: A Sensitivity Analysis Approach
- On the construction of minimum information bivariate copula families
- Copulas from the Fokker-Planck equation
- Copulae of probability measures on product spaces
- Metamodelling with independent and dependent inputs
- On copulas, quasicopulas and fuzzy logic
- Asymmetric semilinear copulas
- Archimedean components of triangular norms
- A Two-Part Joint Model for the Analysis of Survival and Longitudinal Binary Data with Excess Zeros
- Probabilistic solution of the homogeneous Riccati differential equation: a case-study by using linearization and transformation techniques
- On a family of copulas constructed from the diagonal section
- Stochastic comparisons of component and system redundancies with dependent components
- Negative dependence in frailty models
- SCOMDY models based on pair-copula constructions with application to exchange rates
- Triangular norms. Position paper II: General constructions and parameterized families
- A new approach for firm value and default probability estimation beyond Merton models
- Compound Poisson approximations for individual models with dependent risks.
- Semiparametric estimation in models of first-price, sealed-bid auctions with affiliation
- On the multivariate probability integral transformation
- Kendall distribution functions.
- Strategic asset allocation with switching dependence
- Worst VaR scenarios with given marginals and measures of association
- Bounds for functions of multivariate risks
- An efficient nonparametric estimator for models with nonlinear dependence
- Non-parametric estimation of mutual information through the entropy of the linkage
- Semiparametric identification and estimation in multi-object, English auctions
- ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS
- Bounds for expectations of concomitants
- On univariate and bivariate generalized gamma convolutions
- Characterization of all copulas associated with non-continuous random variables
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