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

DOI10.1080/02331888.2012.664143zbMath1440.62184OpenAlexW1972773256MaRDI QIDQ2863089

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

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

Related Items (8)

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

Uses Software

• QRM

Cites Work

• Unnamed Item
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• Some advances in the study of the compatibility of three bivariate copulas
• Correction to “Estimation of the Weibull Parameters with Grouped Data”
• On the preservation of copula structure under truncation

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