Nonstationary modelling of tail dependence of two subjects' concentration

DOI10.1214/17-AOAS1111zbMath1405.62244OpenAlexW2884362399WikidataQ125633631 ScholiaQ125633631MaRDI QIDQ1624851

Pierre Dillenbourg, Valérie Chavez-Demoulin, Kshitij Sharma

Publication date: 16 November 2018

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aoas/1532743495

zbMATH Keywords

entropycopulastail dependencegeneralized additive modelscollaborative learning

Mathematics Subject Classification ID

Applications of statistics to social sciences (62P25) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)

Uses Software

• gamair
• QRM

Cites Work

• Pair-copula constructions of multiple dependence
• Generalized additive models for conditional dependence structures
• Bivariate extreme statistics. I
• An introduction to copulas. Properties and applications
• Nonparametric estimation of the conditional tail copula
• Non-parametric Estimation of Tail Dependence
• Penalized Likelihood for General Semi-Parametric Regression Models
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