An introduction to copulas. Properties and applications
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Publication:1273993
zbMATH Open0909.62052MaRDI QIDQ1273993FDOQ1273993
Authors: Roger B. Nelsen 
Publication date: 11 January 1999
Published in: Lecture Notes in Statistics (Search for Journal in Brave)
Recommendations
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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- Multiobjective land–water allocation model for sustainable agriculture with predictive stochastic yield response
- Estimation of regression parameters in missing data problems
- Conditional orderings and positive dependence
- Likelihood inference for exchangeable continuous data with covariates and varying cluster sizes; use of the Farlie-Gumbel-Morgenstern model
- LTD and RTI dependence orderings
- Dependence estimation and visualization in multivariate extremes with applications to financial data
- Weighted U-statistics for likelihood-ratio ordering of bivariate data
- Matrix representation of discrete quasi-copulas
- Stochastic comparisons for rooted butterfly networks and tree networks, with random environments
- Tolerance intervals for quantiles of bivariate risks and risk measurement
- On the calculation of the bounds of probability of events using infinite random sets
- Criteria satisfaction under measure based uncertainty
- 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
- On a construction of multivariate distributions given some multidimensional marginals
- A note on minimum distance estimation of copula densities
- On the joint asymptotic behavior of two rank-based estimators of the association parameter in the gamma frailty model
- Bivariate survival models with Clayton aging functions
- On bivariate generalized linear failure rate-power series class of distributions
- Certain bivariate distributions and random processes connected with maxima and minima
- Score tests for independence in parametric competing risks models
- Some mathematical structures for computational information
- Using second-order probabilities to make maximum entropy approach to copulas more reasonable
- A study on LTD and RTI positive dependence orderings
- On the rate of convergence to asymptotic independence between order statistics.
- On the extremal dependence coefficient of multivariate distributions
- Extreme value attractors for star unimodal copulas
- Comparison of performance measures for multivariate discrete models
- One-dimensional p--p plots and precedence tests for point processes on \({\mathbb R}^d\)
- Pricing equity-indexed annuities under stochastic interest rates using copulas
- Distribution functions of copulas: A class of bivariate probability integral transforms
- On expected utility for financial insurance portfolios with stochastic dependencies
- Revealing the dependence structure between \(X_{(1)}\) and \(X_{(n)}\)
- Efficient nonparametric estimation of a distribution function.
- On efficient estimation of linear functionals of a bivariate distribution with known marginals.
- A test of independence based on a generalized correlation function
- A new family of symmetric bivariate copulas
- Cramér-von Mises regression
- Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions
- GeD spline estimation of multivariate Archimedean copulas
- Dependence patterns associated with the fundamental diagram: a copula function approach
- Maintaining tail dependence in data shuffling using \(t\) copula
- \(d\)-dimensional dependence functions and Archimax copulas
- The impact of order flow on the foreign exchange market: a copula approach
- Correspondence analysis and diagonal expansions in terms of distribution functions
- Multidimensional dependency measures
- Valuation of Equity-Linked Insurance and Annuity Products with Binomial Models
- On the preservation of copula structure under truncation
- Towards adding probabilities and correlations to interval computations
- Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory
- Tail dependence for two skew \(t\) distributions
- Stochastic comparisons of interfailure times under a relevation replacement policy
- 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
- Some convex functions based measures of independence and their application to strange attractor reconstruction
- Stochastic comparisons for time transformed exponential models
- Behaviour of multivariate tail dependence coefficients
- Score tests for independence in semiparametric competing risks models
- CHECKERBOARD COPULAS OF MAXIMUM ENTROPY WITH PRESCRIBED MIXED MOMENTS
- Testing stochastic orders in tails of contingency tables
- Bounds for functions of multivariate risks
- Monge properties, discrete convexity and applications
- OWA trees and their role in security modeling using attack trees
- A Dependence Metric for Possibly Nonlinear Processes
- A Two-Part Joint Model for the Analysis of Survival and Longitudinal Binary Data with Excess Zeros
- An efficient nonparametric estimator for models with nonlinear dependence
- Non-parametric estimation of mutual information through the entropy of the linkage
- Asymptotics for risk capital allocations based on conditional tail expectation
- ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS
- Characterization of all copulas associated with non-continuous random variables
- A normal copula model for the arrival process in a call center
- Semiparametric estimation in models of first-price, sealed-bid auctions with affiliation
- Semiparametric identification and estimation in multi-object, English auctions
- Bell-type inequalities for quasi-copulas
- A joint model of cancer incidence, metastasis, and mortality
- The effect of college curriculum on earnings: an affinity identifier for non-ignorable non-response bias
- Construction of asymmetric copulas and its application in two-dimensional reliability modelling
- Archimedean components of triangular norms
- Bounds for expectations of concomitants
- On univariate and bivariate generalized gamma convolutions
- New Families of Copulas Based on Periodic Functions
- On copulas, quasicopulas and fuzzy logic
- Strategic asset allocation with switching dependence
- A comparison between stochastic DEA and fuzzy DEA approaches: revisiting efficiency in Angolan banks
- On the ruin probabilities of a bidimensional perturbed risk model
- Copula-based multivariate GARCH model with uncorrelated dependent errors
- Measures of concordance determined by 𝐷₄-invariant measures on (0,1)²
- On dependency properties of the ISIs generated by a two-compartmental neuronal model
- The bivariate normal copula function is regularly varying
- Asymptotic results for the sum of dependent non-identically distributed random variables
- Multi-objective portfolio optimization considering the dependence structure of asset returns
- Stochastic model to evaluate the fair value of motor third-party liability under the direct reimbursement scheme and quantification of the capital requirement in a Solvency II perspective
- On approximating max-stable processes and constructing extremal copula functions
- Risk capital allocation and cooperative pricing of insurance liabilities.
- Worst VaR scenarios with given marginals and measures of association
- Modelling total tail dependence along diagonals
- Probabilistic solution of the homogeneous Riccati differential equation: a case-study by using linearization and transformation techniques
- A multivariate extension of the increasing convex order to compare risks
- Default probability estimation via pair copula constructions
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