Invariant dependence structure under univariate truncation

DOI10.1080/02331888.2010.512977zbMath1241.62083MaRDI QIDQ2892899

Fabrizio Durante, Piotr Jaworski

Publication date: 25 June 2012

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2010.512977

zbMATH Keywords

copulas; Clayton model; univariate conditioning; tail dependance; treshold copulas

Mathematics Subject Classification ID

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

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Asymmetric Copulas and Their Application in Design of Experiments, Truncation invariant copulas and a testing procedure, A Test for Truncation Invariant Dependence, On the measure induced by copulas that are invariant under univariate truncation, On copulas with a trapezoid support, Copula-based conditional tail indices, New families of symmetric/asymmetric copulas, Covar of families of copulas, Gaussian approximation of conditional elliptical copulas, On conditional value at risk (CoVaR) for tail-dependent copulas, Invariant dependence structures and Archimedean copulas, On truncation invariant copulas and their estimation, Conditioning of copulas: transformations, invariance and measures of concordance, A note on Archimax copulas and their representation by means of conic copulas, Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity, Right-truncated Archimedean and related copulas, On the class of truncation invariant bivariate copulas under constraints, Some properties of fuzzy implications based on copulas, Univariate conditioning of vine copulas, Fuzzy implications based on semicopulas, Ultramodularity and copulas, Evolution of the Dependence of Residual Lifetimes, On Copulas and Differential Inclusions, On the Characterization of Copulas by Differential Equations, Unnamed Item

Uses Software

• QRM

Cites Work

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