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)- Bridging conditional and marginal inference for spatially referenced binary data
- Implied volatility of basket options at extreme strikes
- Extreme behavior of multivariate phase-type distributions
- A copula-based uncertainty propagation method for structures with correlated parametric p-boxes
- On some new dependence models derived from multivariate collective models in insurance applications
- Asymptotic risk decomposition for regularly varying distributions with tail dependence
- AGGREGATION OF DEPENDENT RISKS IN MIXTURES OF EXPONENTIAL DISTRIBUTIONS AND EXTENSIONS
- Introduction to extreme value theory: applications to risk analysis and management
- Unveiling endogeneity and temporal dependence in energy prices and demand in Iberian countries: a stochastic hidden Markov model approach
- Estimating covariate functions associated to multivariate risks: a level set approach
- A metric space of subcopulas -- an approach via Hausdorff distance
- A note on the copulas invariant with respect to \((a,b)\)-transformation
- Oil price and FX-rates dependency
- Copula Approach to Multivariate Energy Efficiency Analysis
- On relative aging comparisons of coherent systems with identically distributed components
- Modelling and simulation of volumetric rainfall for a catchment in the Murray-Darling basin
- Classical and Bayesian inference of a mixture of bivariate exponentiated exponential model
- A mixed C-vine copula model for hedging price and volumetric risk in wind power trading
- Bi-directional dominance for measure modeled uncertainty
- Spearman rank correlation of the bivariate Student \(t\) and scale mixtures of normal distributions
- A two-dimensional distribution model: applications to time periods of various lengths in surgical activity
- Bayesian methods for multiple mediators: relating principal stratification and causal mediation in the analysis of power plant emission controls
- Portfolio optimization of energy commodity futures returns with minimum information copula
- A tribute to Abe Sklar
- Feature selection for data integration with mixed multiview data
- On relative ageing of coherent systems with dependent identically distributed components
- Stochastic species abundance models involving special copulas
- Estimation of the value at risk using the stochastic approach of Taylor formula
- Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts
- Copula-frailty models for recurrent event data based on Monte Carlo EM algorithm
- Generalized ordinal sums of aggregation operators on bounded lattices
- Construction of a class of copula using the finite difference method
- A law of uniform seniority for dependent lives
- Copula measures and Sklar's theorem in arbitrary dimensions
- Bivariate beta regression models: joint modeling of the mean, dispersion and association parameters
- Three-stage semi-parametric estimation of \(t\)-copulas: asymptotics, finite-sample properties and computational aspects
- Stochastic orders and multivariate measures of risk contagion
- A modified version of stochastic dominance involving dependence
- Sovereign risk zones in Europe during and after the debt crisis
- Bounded M-O extended exponential distribution with applications
- On the solvability of bipolar max-product fuzzy relation equations with the product negation
- Bayesian inference for the causal effect of mediation
- A new time-varying optimal copula model identifying the dependence across markets
- Inference in stochastic frontier analysis with dependent error terms
- Statistical dependence: beyond Pearson's \(\rho\)
- On ordinal sums of overlap and grouping functions on complete lattices
- Hedges or safe havens -- revisit the role of gold and USD against stock: a multivariate extended skew-\(t\) copula approach
- Dependence properties of multivariate distributions with proportional hazard rate marginals
- Dependence between oil and commodities markets using time-varying Archimedean copulas and effectiveness of hedging strategies
- FINITE ELEMENT METHOD USED TO APPROXIMATE BIVARIATE COPULAS WITH DIRICHLET NON HOMOGENEOUS CONDITION
- Testing independence for Archimedean copula based on Bernstein estimate of Kendall distribution function
- A bivariate count model with discrete Weibull margins
- Dynamic copulas for monotonic dependence change in time series
- Automated preference elicitation for decision making
- Copula-based risk management models for multivariable RMB exchange rate in the process of RMB internationalization
- On the rate of convergence to asymptotic independence between order statistics.
- Testing stochastic orders in tails of contingency tables
- Criteria satisfaction under measure based uncertainty
- Score tests for independence in semiparametric competing risks models
- Maintaining tail dependence in data shuffling using \(t\) copula
- Cramér-von Mises regression
- Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions
- Stochastic comparisons of interfailure times under a relevation replacement policy
- LTD and RTI dependence orderings
- On a construction of multivariate distributions given some multidimensional marginals
- Efficient nonparametric estimation of a distribution function.
- On efficient estimation of linear functionals of a bivariate distribution with known marginals.
- Full ordering in the Shorrocks mobility sense of the semiring of monotone doubly stochastic matrices
- Superefficient estimation of the marginals by exploiting knowledge on the copula
- On the rate of convergence to asymptotic independence between order statistics under power normalization with extension to the generalized order statistics
- Dependence patterns associated with the fundamental diagram: a copula function approach
- Estimation of regression parameters in missing data problems
- Dependence estimation and visualization in multivariate extremes with applications to financial data
- Bivariate survival models with Clayton aging functions
- Stochastic comparisons for rooted butterfly networks and tree networks, with random environments
- Tail dependence for two skew \(t\) distributions
- Towards adding probabilities and correlations to interval computations
- Conditional orderings and positive dependence
- A test of independence based on a generalized correlation function
- Comparison of performance measures for multivariate discrete models
- One-dimensional p--p plots and precedence tests for point processes on \({\mathbb R}^d\)
- Valuation of Equity-Linked Insurance and Annuity Products with Binomial Models
- A new family of symmetric bivariate copulas
- GeD spline estimation of multivariate Archimedean copulas
- On the extremal dependence coefficient of multivariate distributions
- Behaviour of multivariate tail dependence coefficients
- Score tests for independence in parametric competing risks models
- Pricing equity-indexed annuities under stochastic interest rates using copulas
- Tolerance intervals for quantiles of bivariate risks and risk measurement
- A study on LTD and RTI positive dependence orderings
- Using second-order probabilities to make maximum entropy approach to copulas more reasonable
- Weighted U-statistics for likelihood-ratio ordering of bivariate data
- Proof of a conjecture on Spearman's \(\rho\) and Kendall's \(\tau\) for sample minimum and maximum
- Nonparametric spatial models for extremes: application to extreme temperature data
- CHECKERBOARD COPULAS OF MAXIMUM ENTROPY WITH PRESCRIBED MIXED MOMENTS
- On bivariate generalized linear failure rate-power series class of distributions
- \(d\)-dimensional dependence functions and Archimax copulas
- Certain bivariate distributions and random processes connected with maxima and minima
- Some convex functions based measures of independence and their application to strange attractor reconstruction
- Stochastic comparisons for time transformed exponential models
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