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

DOI10.1080/02331888.2012.664143zbMATHOpenAlexMaRDI QIDQ2863089FDO

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

• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
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• Correction to ``Estimation of the Weibull parameters with grouped data
• Invariant dependence structures and Archimedean copulas
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• On the preservation of copula structure under truncation
• Some advances in the study of the compatibility of three bivariate copulas
• Spatial contagion between financial markets: a copula-based approach
• Tail dependence from a distributional point of view
• The devil is in the tails: actuarial mathematics and the subprime mortgage crisis
• Threshold copulas and positive dependence

Cited in

(9)

• Dependence of exchangeable residual lifetimes subject to failure
• On truncation invariant copulas and their estimation
• Conditioning of copulas: transformations, invariance and measures of concordance
• On the class of truncation invariant bivariate copulas under constraints
• On spatial contagion and multivariate GARCH models
• On the characterization of copulas by differential equations
• A test for truncation invariant dependence
• Truncation invariant copulas and a testing procedure
• Univariate conditioning of vine copulas

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• QRM

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