Kendall distribution functions.

DOI10.1016/j.spl.2003.08.002zbMath1048.62058MaRDI QIDQ1423086

Roger B. Nelsen, José Juan Quesada-Molina, José Antonio Rodríguez-Lallena, Manuel Úbeda-Flores

Publication date: 14 February 2004

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2003.08.002

zbMATH Keywords

Kendall's tau; Copulas; Distribution functions; Stochastic orderings

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

62H05: Characterization and structure theory for multivariate probability distributions; copulas

60E05: Probability distributions: general theory

62E10: Characterization and structure theory of statistical distributions

Related Items

Hierarchical Kendall copulas: Properties and inference, Estimation of multivariate conditional-tail-expectation using Kendall's process, Comments on: Inference in multivariate Archimedean copula models, On multivariate extensions of value-at-risk, Some results on the convergence of (quasi-) copulas, Copula calibration, Kendall distributions and level sets in bivariate exchangeable survival models, One-dimensional p--p plots and precedence tests for point processes on \({\mathbb R}^d\), Kendall distribution functions and associative copulas, An application of Kendall distributions and alternative dependence measures: SPX vs. VIX, A concept of duality for multivariate exchangeable survival models, Inference in multivariate Archimedean copula models, A moment-based test for extreme-value dependence, Testing for Bivariate Extreme Dependence Using Kendall's Process

Cites Work

• Sulla dissomiglianza tra mutabili cicliche
• An introduction to copulas. Properties and applications
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• On the multivariate probability integral transformation
• Distribution functions of copulas: A class of bivariate probability integral transforms
• Unnamed Item
• Unnamed Item
• Unnamed Item