Dependence properties of conditional distributions of some copula models

DOI10.1007/S11009-017-9544-9MaRDI QIDQ1617331zbMATH OpenOpenAlexFDO

Authors Harry Joe

Publication date 8 November 2018

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-017-9544-9

zbMATH Keywords

factor modelvinepositive dependencestochastically increasingtotal positivity of order 2Markov treemixture of conditional distributions

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Factor analysis and principal components; correspondence analysis (62H25) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Inequalities; stochastic orderings (60E15)

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Cites work

• scientific article; zbMATH DE number 4211299 (Why is no real title available?)
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• scientific article; zbMATH DE number 605729 (Why is no real title available?)
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• Archimedean copulae and positive dependence
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• D-vine copula based quantile regression
• Dependence modeling with copulas
• Factor copula models for multivariate data
• Families of Multivariate Distributions
• Further developments on some dependence orderings for continuous bivariate distributions
• Life distributions. Structure of nonparametric, semiparametric, and parametric families.
• Partial orderings of permutations and monotonicity of a rank correlation statistic
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• Stochastic Comparison of Random Vectors with a Common Copula
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• Vines -- a new graphical model for dependent random variables.

Cited in

(12)

• scientific article; zbMATH DE number 5631923 (Why is no real title available?)
• Pairwise and global dependence in trivariate copula models
• Conditionalization of copula-based models
• The partial copula: properties and associated dependence measures
• scientific article; zbMATH DE number 6193514 (Why is no real title available?)
• On the invariant properties of notions of positive dependence and copulas under increasing transformations
• Dependence Calibration in Conditional Copulas: A Nonparametric Approach
• Dependence properties of bivariate copula families
• Dependence measures for perturbations of copulas
• Stochastic comparisons and bounds for conditional distributions by using copula properties
• Vine copula regression for observational studies
• Prediction based on conditional distributions of vine copulas

Describes a project that uses

Uses Software

• CopulaModel

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