Invariant dependence structure under univariate truncation: the high-dimensional case

DOI10.1080/02331888.2012.664143zbMATH Open1440.62184OpenAlexW1972773256MaRDI QIDQ2863089FDOQ2863089

Authors: Piotr Jaworski 

Publication date: 21 November 2013

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2012.664143

zbMATH Keywords

copulatruncation of the first variableunivariate conditioninginvariant copulathreshold copula

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cites Work

• Title not available (Why is that?)
• An introduction to copulas.
• Copula theory and its applications. Proceedings of the workshop held in Warsaw, Poland, 25--26 September 2009
• Copula convergence theorems for tail events.
• Tail dependence from a distributional point of view
• Limiting dependence structures for tail events, with applications to credit derivatives
• Threshold copulas and positive dependence
• Spatial contagion between financial markets: a copula-based approach
• The devil is in the tails: actuarial mathematics and the subprime mortgage crisis
• Invariant dependence structures and Archimedean copulas
• Some advances in the study of the compatibility of three bivariate copulas
• Bounds for trivariate copulas with given bivariate marginals
• On the preservation of copula structure under truncation
• Correction to ``Estimation of the Weibull parameters with grouped data

Cited In (9)

• Dependence of exchangeable residual lifetimes subject to failure
• On spatial contagion and multivariate GARCH models
• On truncation invariant copulas and their estimation
• Univariate conditioning of vine copulas
• On the Characterization of Copulas by Differential Equations
• On the class of truncation invariant bivariate copulas under constraints
• Conditioning of copulas: transformations, invariance and measures of concordance
• Truncation invariant copulas and a testing procedure
• A Test for Truncation Invariant Dependence

Uses Software

• QRM

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