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)
Cited In (only showing first 100 items - show all)
- Modelling the joint distribution of competing risks survival times using copula functions
- Mining and visualising ordinal data with non-parametric continuous BBNs
- Shift invariant binary aggregation operators.
- Dependence and the asymptotic behavior of large claims reinsurance
- On some construction methods for 1-Lipschitz aggregation functions
- Bounds on the value-at-risk for the sum of possibly dependent risks
- On recursive Bayesian predictive distributions
- Random first-order linear discrete models and their probabilistic solution: a comprehensive study
- Modeling liquid association
- A generalization of the Archimedean class of bivariate copulas
- Worst VaR scenarios
- Construction of measure by given projections
- On distance distribution functions-valued submeasures related to aggregation functions
- Copulas from the Fokker-Planck equation
- Joint cumulative distribution functions for Dempster-Shafer belief structures using copulas
- On the recovery of joint distributions from limited information
- Types of dependence and time-dependent association between two lifetimes in single parameter copula models
- 2-increasing binary aggregation operators
- On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
- Modelling dependence structure with Archimedean copulas and applications to the iTraxx CDS index
- On a new construction of 1-Lipschitz aggregation functions, quasi-copulas and copulas
- On linear and quadratic constructions of aggregation functions
- Intervals of 1-Lipschitz aggregation operators, quasi-copulas, and copulas with given affine section
- Archimax copulas and invariance under transformations
- Copula Component Analysis
- Lipschitz continuity of triangular subnorms
- On the construction of minimum information bivariate copula families
- Metamodelling with independent and dependent inputs
- Robust distributed maximum likelihood estimation with dependent quantized data
- A bayesian estimator for the dependence function of a bivariate extreme‐value distribution
- Quasi conjunction, quasi disjunction, t-norms and t-conorms: probabilistic aspects
- Regression Survival Analysis with an Assumed Copula for Dependent Censoring: A Sensitivity Analysis Approach
- Copulas with maximum entropy
- Lipschitzian De Morgan triplets of fuzzy connectives
- Parametric characterization of aggregation functions
- T-evaluators and S-evaluators
- Extendibility of Marshall-Olkin distributions and inverse Pascal triangles
- Hutchinson -- Lai's conjecture for bivariate extreme value copulas.
- A semiparametric test of independence in copula models for censored data
- Estimation and tests of independence in copula models via divergences
- Measure-based aggregation operators.
- Portfolio risk assessment using multivariate extreme value methods
- Asymptotic results for over-dispersed operational risk by using the asymptotic expansion method
- On tail dependence coefficients of transformed multivariate Archimedean copulas
- A generalized linear mixed model for longitudinal binary data with a marginal logit link function
- Empirical likelihood for non-smooth criterion functions
- Best-possible bounds on sets of bivariate distribution functions
- A new family of positive quadrant dependent bivariate distributions
- Love and death: a Freund model with frailty
- Kusuoka representations of coherent risk measures in general probability spaces
- Bell-type inequalities for bivariate maps on orthomodular lattices
- Copulae on products of compact Riemannian manifolds
- Archimedean copulas with applications to VaR estimation
- Link-save trading
- Nonparametric measures of dependence for biometric data studies
- Modeling cause-of-death mortality using hierarchical Archimedean copula
- Statistical properties of parametric estimators for Markov chain vectors based on copula models
- Transition choice probabilities in logit
- Fisher information and the Kullback-Leibler distance in concomitants of generalized order statistics under iterated FGM family
- Copula and s-map on a quantum logic
- Extreme VaR scenarios in higher dimensions
- Copulae of probability measures on product spaces
- Copula credibility for aggregate loss models
- Joint survival probability via truncated invariant copula
- The additive hazard mixing models
- Bivariate analysis of survivorship and persistency
- On two dependent individual risk models.
- Estimating the probability of widespread flood events
- A generalized beta copula with applications in modeling multivariate long-tailed data
- Eliciting Dirichlet and Gaussian copula prior distributions for multinomial models
- The Notions of Overlap and Grouping Functions
- Measures of information in order statistics and their concomitants for the single iterated Farlie-Gumbel-Morgenstern bivariate distribution
- How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders
- Multivariate extreme value theory and its usefulness in understanding risk
- Combining various types of belief structures
- 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
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