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
- 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
- From van der Corput to modern constructions of sequences for quasi-Monte Carlo rules
- Linear B-spline copulas with applications to nonparametric estimation of copulas
- Copulas with fractal supports
- Forecasting time series with multivariate copulas
- Triangular norms. Position paper I: Basic analytical and algebraic properties.
- Bivariate option pricing using dynamic copula models
- Gluing copulas
- Bayesian model selection for D-vine pair-copula constructions
- Multivariate measures of concordance
- Multivariate versions of Blomqvist's beta and Spearman's footrule
- Are copulas unimodal?
- Measuring the subprime crisis contagion: evidence of change point analysis of copula functions
- Copula convergence theorems for tail events.
- Efficient Calculation of Kendall’s τ for Interval Data
- On the covariance between functions
- The TP\(_{2}\) ordering of Kimeldorf and Sampson has the normal-agreeing property
- The t Copula and Related Copulas
- COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES
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