An introduction to copulas. Properties and applications
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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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(only showing first 100 items - show all)- On copulas, quasicopulas and fuzzy logic
- Asymmetric semilinear copulas
- Archimedean components of triangular norms
- A Two-Part Joint Model for the Analysis of Survival and Longitudinal Binary Data with Excess Zeros
- Probabilistic solution of the homogeneous Riccati differential equation: a case-study by using linearization and transformation techniques
- On a family of copulas constructed from the diagonal section
- Stochastic comparisons of component and system redundancies with dependent components
- Negative dependence in frailty models
- SCOMDY models based on pair-copula constructions with application to exchange rates
- Triangular norms. Position paper II: General constructions and parameterized families
- A new approach for firm value and default probability estimation beyond Merton models
- Compound Poisson approximations for individual models with dependent risks.
- Semiparametric estimation in models of first-price, sealed-bid auctions with affiliation
- On the multivariate probability integral transformation
- Kendall distribution functions.
- Strategic asset allocation with switching dependence
- Worst VaR scenarios with given marginals and measures of association
- Bounds for functions of multivariate risks
- An efficient nonparametric estimator for models with nonlinear dependence
- Non-parametric estimation of mutual information through the entropy of the linkage
- Semiparametric identification and estimation in multi-object, English auctions
- ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS
- Bounds for expectations of concomitants
- On univariate and bivariate generalized gamma convolutions
- Characterization of all copulas associated with non-continuous random variables
- On multivariate extensions of value-at-risk
- A bifurcation theory for a class of discrete time Markovian stochastic systems
- Non-parametric Estimation of Tail Dependence
- Archimedean copulae and positive dependence
- On some classes of directionally monotone functions
- New Families of Copulas Based on Periodic Functions
- Sharp bounds on the distribution of treatment effects and their statistical inference
- Spatial Bayesian nonparametric methods
- Multivariate distributions with correlation matrices for nonlinear repeated measurements
- Bell-type inequalities for quasi-copulas
- A comparison between stochastic DEA and fuzzy DEA approaches: revisiting efficiency in Angolan banks
- \(d\)-Choquet integrals: Choquet integrals based on dissimilarities
- Explicit ruin formulas for models with dependence among risks
- Coherence graphs
- OWA trees and their role in security modeling using attack trees
- The bivariate normal copula function is regularly varying
- A generalization of \(p\)-boxes to affine arithmetic
- On the ruin probabilities of a bidimensional perturbed risk model
- A joint model of cancer incidence, metastasis, and mortality
- Modelling total tail dependence along diagonals
- Bivariate copula decomposition in terms of comonotonicity, countermonotonicity and indepen\-dence
- Discrete quasi-copulas
- Sklar's theorem in an imprecise setting
- Optimization strategies in credit portfolio management
- Characterizations of degree one bivariate measures of concordance
- The lattice-theoretic structure of sets of bivariate copulas and quasi-copulas
- A Monte Carlo-based method for the estimation of lower and upper probabilities of events using infinite random sets of indexable type
- Copula-based multivariate GARCH model with uncorrelated dependent errors
- Extreme behavior of bivariate elliptical distributions
- A normal copula model for the arrival process in a call center
- 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
- A multivariate extension of the increasing convex order to compare risks
- Monge properties, discrete convexity and applications
- Default probability estimation via pair copula constructions
- The contagion channels of July--August-2011 stock market crash: a DAG-copula based approach
- Extreme value analysis for evaluating ozone control strategies
- Structural response analysis under dependent variables based on probability boxes
- On multivariate extensions of conditional-tail-expectation
- Theoretical efficiency comparisons of independence tests based on multivariate versions of Spearman's rho
- Marginality and triangle inequality
- A Dependence Metric for Possibly Nonlinear Processes
- Multivariate dependence concepts through copulas
- Measures of concordance determined by đ·â-invariant measures on (0,1)ÂČ
- Analysing financial contagion and asymmetric market dependence with volatility indices via copulas
- scientific article; zbMATH DE number 7578286 (Why is no real title available?)
- On approximating max-stable processes and constructing extremal copula functions
- Asymptotics for risk capital allocations based on conditional tail expectation
- Determining the first probability density function of linear random initial value problems by the random variable transformation (RVT) technique: a comprehensive study
- 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
- Risk capital allocation and cooperative pricing of insurance liabilities.
- Asymptotic results for the sum of dependent non-identically distributed random variables
- Comparison of conditional distributions in portfolios of dependent risks
- On dependency properties of the ISIs generated by a two-compartmental neuronal model
- Stat Trek. An interview with Christian Genest
- Copulas: Tales and facts (with discussion)
- Comparison results for exchangeable credit risk portfolios
- Pricing bivariate option under GARCH processes with time-varying copula
- Dependence properties of multivariate max-stable distributions
- Moment-based estimation of extendible Marshall-Olkin copulas
- Quadratic constructions of copulas
- Valuing Bermudan options when asset returns are LĂ©vy processes
- Improving the estimation of Kendall's tau when censoring affects only one of the variables
- Efficient parameter estimation via Gaussian copulas for quantile regression with longitudinal data
- Unconditionally selective dependence of random variables on external factors.
- A note on upper-patched generators for Archimedean copulas
- Nonspecificity for infinite random sets of indexable type
- Where should I submit my work for publication? An asymmetrical classification model to optimize choice
- Measurement of bivariate risks by the north-south quantile points approach
- Information properties for concomitants of order statistics in Farlie-Gumbel-Morgenstern (FGM) family
- Semiparametric Global Crossâratio Models for Bivariate Censored Data
- A multivariate circular distribution with applications to the protein structure prediction problem
- Analyzing dependent proportions in cluster randomized trials: modeling inter-cluster correlation via copula function
- Quantile regression for mixed models with an application to examine blood pressure trends in China
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