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 Two-Part Joint Model for the Analysis of Survival and Longitudinal Binary Data with Excess Zeros
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- Non-parametric estimation of mutual information through the entropy of the linkage
- ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS
- Characterization of all copulas associated with non-continuous random variables
- A normal copula model for the arrival process in a call center
- Semiparametric estimation in models of first-price, sealed-bid auctions with affiliation
- Semiparametric identification and estimation in multi-object, English auctions
- Bell-type inequalities for quasi-copulas
- A joint model of cancer incidence, metastasis, and mortality
- 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
- Archimedean components of triangular norms
- Bounds for expectations of concomitants
- On univariate and bivariate generalized gamma convolutions
- New Families of Copulas Based on Periodic Functions
- On copulas, quasicopulas and fuzzy logic
- Strategic asset allocation with switching dependence
- A comparison between stochastic DEA and fuzzy DEA approaches: revisiting efficiency in Angolan banks
- On the ruin probabilities of a bidimensional perturbed risk model
- Copula-based multivariate GARCH model with uncorrelated dependent errors
- Measures of concordance determined by đ·â-invariant measures on (0,1)ÂČ
- On dependency properties of the ISIs generated by a two-compartmental neuronal model
- The bivariate normal copula function is regularly varying
- Asymptotic results for the sum of dependent non-identically distributed random variables
- 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
- On approximating max-stable processes and constructing extremal copula functions
- Risk capital allocation and cooperative pricing of insurance liabilities.
- Worst VaR scenarios with given marginals and measures of association
- Modelling total tail dependence along diagonals
- Probabilistic solution of the homogeneous Riccati differential equation: a case-study by using linearization and transformation techniques
- A multivariate extension of the increasing convex order to compare risks
- Default probability estimation via pair copula constructions
- The contagion channels of July--August-2011 stock market crash: a DAG-copula based approach
- Asymmetric semilinear copulas
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- Extreme behavior of bivariate elliptical distributions
- Theoretical efficiency comparisons of independence tests based on multivariate versions of Spearman's rho
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- A bifurcation theory for a class of discrete time Markovian stochastic systems
- A generalization of \(p\)-boxes to affine arithmetic
- Optimization strategies in credit portfolio management
- Structural response analysis under dependent variables based on probability boxes
- On multivariate extensions of conditional-tail-expectation
- Stochastic comparisons of component and system redundancies with dependent components
- On the multivariate probability integral transformation
- Spatial Bayesian nonparametric methods
- Coherence graphs
- Marginality and triangle inequality
- Multivariate dependence concepts through copulas
- A new approach for firm value and default probability estimation beyond Merton models
- Characterizations of degree one bivariate measures of concordance
- A Monte Carlo-based method for the estimation of lower and upper probabilities of events using infinite random sets of indexable type
- Bivariate copula decomposition in terms of comonotonicity, countermonotonicity and indepen\-dence
- On a family of copulas constructed from the diagonal section
- Multivariate distributions with correlation matrices for nonlinear repeated measurements
- Discrete quasi-copulas
- The lattice-theoretic structure of sets of bivariate copulas and quasi-copulas
- Determining the first probability density function of linear random initial value problems by the random variable transformation (RVT) technique: a comprehensive study
- Compound Poisson approximations for individual models with dependent risks.
- Kendall distribution functions.
- Sharp bounds on the distribution of treatment effects and their statistical inference
- Sklar's theorem in an imprecise setting
- Quantile curves and dependence structure for bivariate distributions
- Archimedean copulae and positive dependence
- On some classes of directionally monotone functions
- Stat Trek. An interview with Christian Genest
- SCOMDY models based on pair-copula constructions with application to exchange rates
- Triangular norms. Position paper II: General constructions and parameterized families
- Negative dependence in frailty models
- Non-parametric Estimation of Tail Dependence
- \(d\)-Choquet integrals: Choquet integrals based on dissimilarities
- Extreme value analysis for evaluating ozone control strategies
- Explicit ruin formulas for models with dependence among risks
- Comparison of conditional distributions in portfolios of dependent risks
- Copulas: Tales and facts (with discussion)
- 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 LĂ©vy processes using LĂ©vy copulas
- An empirical central limit theorem with applications to copulas under weak dependence
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- 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
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