Correlations and Copulas for Decision and Risk Analysis

DOI10.1287/mnsc.45.2.208zbMath1231.91166OpenAlexW2148005287MaRDI QIDQ3116633

Robert T. Clemen, Terence Reilly

Publication date: 12 February 2012

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/0ab0682c5bb04217546d7a135a5d131d377b4d3f

zbMATH Keywords

measures of dependenceKendall's \(\tau \)Spearman's \(\rho \)

Mathematics Subject Classification ID

Related Items (42)

My introduction to copulas. An interview with Roger Nelsen ⋮ Detecting and modeling critical dependence structures between random inputs of computer models ⋮ Recent Advances in the Elicitation of Uncertainty Distributions from Experts for Multinomial Probabilities ⋮ Statistical dependence through common risk factors: With applications in uncertainty analysis ⋮ A natural conjugate prior for the nonhomogeneous poisson process with an exponential intensity function ⋮ Modeling dropouts by conditional distribution, a copula-based approach ⋮ On multivariate Gaussian copulas ⋮ Optimal product bundling with dependent valuations: the price of independence ⋮ Using Copulas to Model Dependence Between Crude Oil Prices of West Texas Intermediate and Brent-Europe ⋮ Johnson Quantile-Parameterized Distributions ⋮ Probabilistic slope stability analysis by a copula-based sampling method ⋮ Correlation-oriented complex system structural risk assessment using copula and belief rule base ⋮ Dependence patterns associated with the fundamental diagram: a copula function approach ⋮ Approximating Joint Probability Distributions Given Partial Information ⋮ A Simulation-Based Approach to Decision Making with Partial Information ⋮ The price of independence in a model with unknown dependence ⋮ Gaussian copula regression modeling for marker classification metrics with competing risk outcomes ⋮ Additive Scoring Rules for Discrete Sample Spaces ⋮ Sparse Probability Assessment Heuristic Based on Orthogonal Matching Pursuit ⋮ The net Bayes premium with dependence between the risk profiles ⋮ Using copulas to introduce dependence in dose-response modeling of multiple binary endpoints ⋮ Imputation by Gaussian Copula Model with an Application to Incomplete Customer Satisfaction Data ⋮ Improved Alopex-based evolutionary algorithm by Gaussian copula estimation of distribution algorithm and its application to the Butterworth filter design ⋮ Copula theory and probabilistic sensitivity analysis: is there a connection? ⋮ Accounting for high-order correlations in probabilistic characterization of environmental variables, and evaluation ⋮ Exploring the variance contributions of correlated model parameters: a sampling-based approach and its application in traffic simulation models ⋮ Eliciting Dirichlet and Gaussian copula prior distributions for multinomial models ⋮ Expert judgement for dependence in probabilistic modelling: a systematic literature review and future research directions ⋮ Aggregating expert judgement ⋮ Extremal dependence concepts ⋮ Unnamed Item ⋮ Generating a random collection of discrete joint probability distributions subject to partial information ⋮ A flexible multivariate model for high-dimensional correlated count data ⋮ A matching algorithm for generation of statistically dependent random variables with arbitrary marginals ⋮ Unnamed Item ⋮ Supplier default dependencies: empirical evidence from the automotive industry ⋮ Using copulas to model repeat purchase behaviour - an exploratory analysis via a case study ⋮ Case studies in multivariate-to-anything transforms for partially specified random vector gener\-a\-tion ⋮ Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR) ⋮ Multivariate Gaussian criteria in SMAA ⋮ A flexible class of parametric transition regression models based on copulas: application to poliomyelitis incidence ⋮ A Sarmanov family with beta and gamma marginal distributions: an application to the Bayes premium in a collective risk model

This page was built for publication: Correlations and Copulas for Decision and Risk Analysis