Dependence measures for perturbations of copulas

DOI10.1016/j.fss.2017.01.014zbMath1384.62169MaRDI QIDQ1697565

Jana Kalická, Jozef Komorník, Magda Komorníková

Publication date: 20 February 2018

Published in: Fuzzy Sets and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.fss.2017.01.014

zbMATH Keywords

copula; censoring; dependence measures; tail dependence; insurance data; perturbation of copula

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62N01: Censored data models

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

Related Items

Some new measures of dependence for random variables based on Spearman's ρ and Kendall's τ, The impact on the properties of the EFGM copulas when extending this family, New results on perturbation-based copulas, Perturbations of copulas and mixing properties, Dependence and mixing for perturbations of copula-based Markov chains, Polynomial bivariate copulas of degree five: characterization and some particular inequalities

Uses Software

• copula
• copula

Cites Work

• Perturbation of bivariate copulas
• Nonparametric inference on multivariate versions of Blomqvist's beta and related measures of tail dependence
• An introduction to copulas.
• Flipping and cyclic shifting of binary aggregation functions
• Bivariate copulas generated by perturbations
• Multivariate versions of Blomqvist's beta and Spearman's footrule
• On a Measure of Dependence Between two Random Variables
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