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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- 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
- Relations among univariate aging, bivariate aging and dependence for exchangeable lifetimes
- Multivariate Hawkes processes on inhomogeneous random graphs
- An Expectation Conditional Maximization Approach for Gaussian Graphical Models
- On Assessing Surrogacy in a Single Trial Setting Using a Semicompeting Risks Paradigm
- Stochastic orders and risk measures: consistency and bounds
- Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
- Copulas: A Review and Recent Developments
- Spatial variable selection methods for investigating acute health effects of fine particulate matter components
- Detecting atypical observations in financial data: the forward search for elliptical copulas
- On blest's measure of rank correlation
- Correlation and dependence
- Model-based clustering of multivariate ordinal data relying on a stochastic binary search algorithm
- Estimation in exponential families on permutations
- Sampling from Archimedean copulas
- Convergence rate to a lower tail dependence coefficient of a skew-\(t\) distribution
- Stochastic ordering of bivariate elliptical distributions
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- Overlap functions
- Semiparametric estimation method for accelerated failure time model with dependent censoring
- Heterogeneous impacts in PROGRESA
- Generalized logistic models and its orthant tail dependence
- Nonparametric estimation of copula functions for dependence modelling
- Model-based clustering of Gaussian copulas for mixed data
- Estimation of copula-based semiparametric time series models
- Projection estimators of Pickands dependence functions
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- Limiting dependence structures for tail events, with applications to credit derivatives
- An introduction to copulas.
- A kolmogorov-smirnov type test for positive quadrant dependence
- Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection
- Semiparametric estimation in copula models
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Copula Gaussian graphical models and their application to modeling functional disability data
- On the distributional transform, Sklar's theorem, and the empirical copula process
- Models for Circular-Linear and Circular-Circular Data Constructed from Circular Distributions Based on Nonnegative Trigonometric Sums
- Duration time-series models with proportional hazard
- Time-dependent copulas
- Extremes of nonexchangeability
- A scalar product for copulas
- On the simplified pair-copula construction -- simply useful or too simplistic?
- Applications and asymptotic power of marginal-free tests of stochastic vectorial independence
- Sampling algorithms for generating joint uniform distributions using the Vine-Copula method
- Concordance and consensus
- Symmetry and dependence properties within a semiparametric family of bivariate copulas
- A copula-graphic estimator for the conditional survival function under dependent censoring
- Copula modeling for discrete random vectors
- Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
- Construction of asymmetric multivariate copulas
- On rank correlation measures for non-continuous random variables
- Regression Modeling of Semicompeting Risks Data
- Convex geometry of max-stable distributions
- Multivariate conditional versions of Spearman's rho and related measures of tail dependence
- Archimedean copula estimation using Bayesian splines smoothing techniques
- Tails of multivariate Archimedean copulas
- Elliptical copulas: Applicability and limitations.
- Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters
- A multivariate version of Gini's rank association coefficient
- 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
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