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)
Cited In (only showing first 100 items - show all)
- Bayesian modeling of the dependence in longitudinal data via partial autocorrelations and marginal variances
- Estimating a bivariate tail: a copula based approach
- Dependence analysis of regression models in time series
- Comparison of estimators for pair-copula constructions
- Fitting bivariate cumulative returns with copulas
- Bayesian copula selection
- Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market
- Estimation and model selection of semiparametric multivariate survival functions under general censorship
- Bayesian copulae distributions, with application to operational risk management
- Modelling operational risk losses with graphical models and copula functions
- On the dependence structure of order statistics
- Characterization of dependence of multidimensional Lévy processes using Lévy copulas
- An empirical central limit theorem with applications to copulas under weak dependence
- Title not available (Why is that?)
- Estimating copula densities, using model selection techniques
- Multivariate Markov families of copulas
- Kendall distributions and level sets in bivariate exchangeable survival models
- Local efficiency of a Cramér\,-\,von Mises test of independence
- The weak tail dependence coefficient of the elliptical generalized hyperbolic distribution
- Semiparametric multivariate density estimation for positive data using copulas
- Multivariate reduced rank regression in non-Gaussian contexts, using copulas
- Recent advances to model anisotropic space-time data
- Copula analysis of mixture models
- Comparison of increasing directionally convex transformations of random vectors with a common copula
- Shuffles of copulas and a new measure of dependence
- Worst case risk measurement: back to the future?
- Validating criteria with imprecise data in the case of trapezoidal representations
- Axiomatisation of fully probabilistic design
- A counterexample to a conjecture of Hutchinson and Lai
- Supermodular dependence ordering on a class of multivariate copulas
- Spatio-temporal stationary covariance models
- Bounds for functions of dependent risks
- Some results on shuffles of two-dimensional copulas
- Modeling the yearly value-at-risk for operational risk in Chinese commercial banks
- Constructing Archimedean copulas from diagonal sections
- A non-associative generalization of Hájek's BL-algebras
- Aggregation functions: construction methods, conjunctive, disjunctive and mixed classes
- A multivariate Bahadur-Kiefer representation for the empirical Copula process
- On quadratic functionals of the Brownian sheet and related processes
- Tail asymptotics for dependent subexponential differences
- An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk
- On special fuzzy implications
- Study of some measures of dependence between order statistics and systems
- Tail asymptotics for the sum of two heavy-tailed dependent risks
- Modeling statistical dependence of Markov chains via copula models
- Bivariate distributions with given extreme value attractor
- Generalized \(C_{F_1 F_2}\)-integrals: from Choquet-like aggregation to ordered directionally monotone functions
- On multivariate dispersion orderings based on the standard construction
- On the dependence between the extreme order statistics in the proportional hazards model
- Estimating the tail-dependence coefficient: properties and pitfalls
- Updating beliefs for binary variables
- On interactive fuzzy numbers
- Diversification of aggregate dependent risks
- On ordinal sums of triangular norms on bounded lattices
- Meta-theorems on inequalities for scalar fuzzy set cardinalities
- The bivariate generalized linear failure rate distribution and its multivariate extension
- Contests with limited resources
- The measurement of rank mobility
- Maximal branching processes with several types of particles
- Efficient estimation of a semiparametric dynamic copula model
- Convergence of Archimedean copulas
- Extremal fuzzy integrals
- Some positive dependence stochastic orders
- An order-statistics-based method for constructing multivariate distributions with fixed margin\-als
- Quantile curves and dependence structure for bivariate distributions
- Commutative basic algebras and non-associative fuzzy logics
- Tail dependence for multivariate copulas and its monotonicity
- Quasi-arithmetic means of covariance functions with potential applications to space-time data
- Estimating the survival functions in a censored semi-competing risks model
- Identification of marginal and joint {cdf}s using Bayesian method for {RBDO}
- Adaptive-sparse polynomial chaos expansion for reliability analysis and design of complex engineering systems
- Comparison study between {MCMC}-based and weight-based Bayesian methods for identification of joint distribution
- Comparison study between probabilistic and possibilistic methods for problems under a lack of correlated input statistical information
- An adaptive dimension decomposition and reselection method for reliability analysis
- Reliability-based design optimization with confidence level under input model uncertainty due to limited test data
- Efficient estimation of semiparametric copula models for bivariate survival data
- The non-constant-sum Colonel Blotto game
- Diversification for general copula dependence
- Generalizations of the General Lotto and Colonel Blotto games
- A Bayesian joint model of recurrent events and a terminal event
- A bivariate regression model for matched paired survival data: local influence and residual analysis
- Principles of copula theory
- Process-driven direction-dependent asymmetry: identification and quantification of directional dependence in spatial fields
- Correlated age-specific mortality model: an application to annuity portfolio management
- On higher-degree bivariate stop-loss transforms, with applications
- A new class of symmetric bivariate copulas
- Constructing hierarchical archimedean copulas with Lévy subordinators
- A new class of bivariate copulas.
- Exponential Behavior in the Presence of Dependence in Risk Theory
- Measures of risk
- Computation of general correlation coefficients for interval data
- Model comparison of coordinate-free multivariate skewed distributions with an application to stochastic frontiers
- Common factors in conditional distributions for bivariate time series
- Sharp Upper and Lower Bounds for Basket Options
- Generalized Marshall-Olkin distributions and related bivariate aging properties
- Bivariate survival modeling: a Bayesian approach based on copulas
- Asymptotic local efficiency of Cramér\,-\,von Mises tests for multivariate independence
- Serial independence tests for innovations of conditional mean and variance models
- Mastering uncertainty in industry. I: A global methodological approach based on examples
- Copula functions for residual dependency
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