ESTIMATORS BASED ON KENDALL'S TAU IN MULTIVARIATE COPULA MODELS
From MaRDI portal
Publication:2892457
DOI10.1111/j.1467-842X.2011.00622.xzbMath1274.62367OpenAlexW1487371587MaRDI QIDQ2892457
Christian Genest, Noomen Ben Ghorbal, Johanna G. Nešlehová
Publication date: 18 June 2012
Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-842x.2011.00622.x
Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20)
Related Items
On order statistics and Kendall's tau ⋮ Uncertainty quantification for the family-wise error rate in multivariate copula models ⋮ Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables ⋮ Kendall regression coefficient ⋮ On attainability of Kendall's tau matrices and concordance signatures ⋮ Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family ⋮ A flexible and tractable class of one-factor copulas ⋮ An exchangeable Kendall's tau for clustered data ⋮ EM algorithm in Gaussian copula with missing data ⋮ Extending the inference function for augmented margins method to implement trivariate Clayton copula-based SUR Tobit models ⋮ Characterizations of copulas attaining the bounds of multivariate Kendall's tau ⋮ Intersection tests for the cointegrating rank in dependent panel data ⋮ A novel mixture model using the multivariate normal mean-variance mixture of Birnbaum-Saunders distributions and its application to extrasolar planets ⋮ Concomitants of \(m\)-generalized order statistics from generalized Farlie-Gumbel-Morgenstern distribution family ⋮ Orthogonal decomposition of multivariate densities in Bayes spaces and relation with their copula-based representation ⋮ Hypothesis Tests for Structured Rank Correlation Matrices ⋮ Quantifying directed dependence via dimension reduction ⋮ Copula modeling from Abe Sklar to the present day ⋮ A review of copula models for economic time series ⋮ Likelihood inference for Archimedean copulas in high dimensions under known margins ⋮ False discovery rate control under Archimedean copula ⋮ On the specification of multivariate association measures and their behaviour with increasing dimension ⋮ Kendall's tau for hierarchical data ⋮ Estimators based on trimmed Kendall's tau in multivariate copula models ⋮ Single-index copulas ⋮ Optimal estimation of slope vector in high-dimensional linear transformation models ⋮ Detection of block-exchangeable structure in large-scale correlation matrices ⋮ Model selection in sparse high-dimensional vine copula models with an application to portfolio risk ⋮ Fast algorithms for a space-time concordance measure ⋮ Calibration estimation of semiparametric copula models with data missing at random ⋮ Weighted least-squares inference for multivariate copulas based on dependence coefficients ⋮ Testing for equality between conditional copulas given discretized conditioning events ⋮ A model-point approach to indifference pricing of life insurance portfolios with dependent lives ⋮ On the multidimensional extension of countermonotonicity and its applications ⋮ On minimal copulas under the concordance order ⋮ Nonparametric estimation of copula-based measures of multivariate association from contingency tables ⋮ On the reliability modeling of weighted \(k\)-out-of-\(n\) systems with randomly chosen components ⋮ On testing for independence between the innovations of several time series ⋮ Conditional empirical copula processes and generalized measures of association ⋮ Rank-based methods for modeling dependence between loss triangles
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Comparison of three semiparametric methods for estimating dependence parameters in copula models
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- From Archimedean to Liouville copulas
- Comparison of semiparametric and parametric methods for estimating copulas
- Multivariate concordance
- On Kendall's process
- Copula Structure Analysis
- Correlation structure in Farlie-Gumbel-Morgenstern distributions
- Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
- Multivariate extremes, aggregation and dependence in elliptical distributions
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- A Note on Average Tau as a Measure of Concordance
- Copula Models for Aggregating Expert Opinions
- Understanding Relationships Using Copulas
- ON THE METHOD OF PAIRED COMPARISONS
- THE SIGNIFICANCE OF RANK CORRELATIONS WHERE PARENTAL CORRELATION EXISTS
- A Class of Statistics with Asymptotically Normal Distribution
- ON SAMPLING FROM A POPULATION OF RANKERS
