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
- 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
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