Copula Structure Analysis

DOI10.1111/j.1467-9868.2009.00707.xzbMath1250.62031MaRDI QIDQ2920266

Claudia Klüppelberg, Gabriel Kuhn

Publication date: 25 October 2012

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9868.2009.00707.x

zbMATH Keywords

dimension reduction; factor analysis; covariance structure analysis; Kendall's \(\tau\); elliptical copulas; correlation structure analysis

Mathematics Subject Classification ID

62H25: Factor analysis and principal components; correspondence analysis

62H12: Estimation in multivariate analysis

62P05: Applications of statistics to actuarial sciences and financial mathematics

62H20: Measures of association (correlation, canonical correlation, etc.)

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

Related Items

Adaptive estimation of the copula correlation matrix for semiparametric elliptical copulas, A flexible and tractable class of one-factor copulas, Factor copula models for multivariate data, Two bootstrap strategies for a \(k\)-problem up to location-scale with dependent samples, An extreme-value approach for testing the equality of large U-statistic based correlation matrices, Tail dependence for regularly varying time series, Robust factor number specification for large-dimensional elliptical factor model, Canonical correlation analysis for elliptical copulas, Testing symmetry around a subspace, A semiparametric approach to mixed outcome latent variable models: estimating the association between cognition and regional brain volumes, Weighted least-squares inference for multivariate copulas based on dependence coefficients, ESTIMATORS BASED ON KENDALL'S TAU IN MULTIVARIATE COPULA MODELS

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