scientific article; zbMATH DE number 5973798

MaRDI QIDQ3098520zbMATH OpenFDO

Authors Tomáš Bacigál, Vladimír Jágr, Radko Mesiar

Publication date 17 November 2011

Full work available at URL https://eudml.org/doc/196428, http://www.kybernetika.cz/content/2011/4/519

zbMATH Keywords

generatordependence functionArchimax copula

Mathematics Subject Classification ID

Foundations and philosophical topics in statistics (62A01) Identification in stochastic control theory (93E12)

Recommendations

• Nonparametric estimation of an extreme-value copula in arbitrary dimensions
• Archimedean copulas with applications to VaR estimation
• Archimedean copulas, exchangeability, and max-stability
• On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
• Inference for Archimax copulas
• Nonparametric estimation of multivariate extreme-value copulas
• \(d\)-dimensional dependence functions and Archimax copulas
• Multivariate Archimax copulas
• Estimating Archimedean copulas in high dimensions

Cites work

• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• scientific article; zbMATH DE number 1790405 (Why is no real title available?)
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• An introduction to copulas.
• Bivariate distributions with given extreme value attractor
• Bivariate extreme value theory: Models and estimation
• Construction of asymmetric multivariate copulas
• Goodness-of-fit tests for copulas: A review and a power study
• Lipschitz continuity of copulas w.r.t. \(L_p\)-norms
• On a general class of fuzzy connectives
• Tests of independence and randomness based on the empirical copula process
• \(L^{\infty }\)-measure of non-exchangeability for bivariate extreme value and Archimax copulas
• \(k\)-\(l_p\)-Lipschitz t-norms

Cited in

(9)

• Best-possible bounds on the set of copulas with given degree of non-exchangeability
• Hypothesis Testing for Matched Pairs with Missing Data by Maximum Mean Discrepancy: An Application to Continuous Glucose Monitoring
• A compendium of copulas
• Multivariate Archimax copulas
• Copulae: an overview and recent developments
• Inference for Archimax copulas
• \(d\)-dimensional dependence functions and Archimax copulas
• Exchangeable copulas
• Asymmetric copulas and their application in design of experiments

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