Statistical Inference Procedures for Bivariate Archimedean Copulas

DOI10.2307/2290796zbMATH Open0785.62032OpenAlexW4240146822MaRDI QIDQ3142148FDOQ3142148

Authors: Christian Genest, Louis-Paul Rivest 

Publication date: 19 April 1994

Full work available at URL: https://doi.org/10.2307/2290796

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zbMATH Keywords

empirical processasymptotic varianceempirical distributionArchimedean copuladependence structurebivariate distributionssemiparametric estimatorFrailty model\(U\) statisticdecomposition of Kendall's tau statisticuranium exploration data set

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Order statistics; empirical distribution functions (62G30)

Cited In (only showing first 100 items - show all)

• Estimation of high-order moment-independent importance measures for Shapley value analysis
• Comparison of estimators for pair-copula constructions
• In mixed company: Bayesian inference for bivariate conditional copula models with discrete and continuous outcomes
• Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles
• Estimation of regression parameters in missing data problems
• On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence
• Lorenz-generated bivariate Archimedean copulas
• Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation
• Kendall distributions and level sets in bivariate exchangeable survival models
• A moment-based test for extreme-value dependence
• Lower tail dependence for Archimedean copulas: characterizations and pitfalls
• Semiparametric multivariate density estimation for positive data using copulas
• On the nonidentifiability property of Archimedean copula models under dependent censoring
• Tests of serial independence based on Kendall's process
• Multivariate longitudinal modeling of insurance company expenses
• A generalization of the Archimedean class of bivariate copulas
• Efficient estimation for additive hazards regression with bivariate current status data
• Sampling from Archimedean n-copulas
• Estimators based on trimmed Kendall's tau in multivariate copula models
• Semiparametric estimation of the parameters of multivariate copulas
• Bayesian nonparametric estimation of a copula
• Likelihood ratio procedures and tests of fit in parametric and semiparametric copula models with censored data
• Multivariate records and hitting scenarios
• Efficient estimation for the proportional hazards model with bivariate current status data
• On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
• Modelling dependence structure with Archimedean copulas and applications to the iTraxx CDS index
• Comparison of three semiparametric methods for estimating dependence parameters in copula models
• Semiparametric Global Cross‐ratio Models for Bivariate Censored Data
• Inference for Bivariate Survival Data by Copula Models Adjusted for the Boundary Effect
• One-dimensional p--p plots and precedence tests for point processes on \({\mathbb R}^d\)
• Modeling statistical dependence of Markov chains via copula models
• Bivariate distributions with given extreme value attractor
• Distribution functions of copulas: A class of bivariate probability integral transforms
• Case–Control and Case‐Only Designs with Genotype and Family History Data: Estimating Relative Risk, Residual Familial Aggregation, and Cumulative Risk
• Heavy-tailed longitudinal data modeling using copulas
• Diagnostic tools for bivariate accelerated life regression models
• A goodness-of fit improvement based on τ-preserving transformation for semiparametric family of copulas
• GeD spline estimation of multivariate Archimedean copulas
• Managing risk with a realized copula parameter
• A model selection test for bivariate failure-time data
• Dependence Calibration in Conditional Copulas: A Nonparametric Approach
• Decomposition of a Schur-constant model and its applications
• Goodness-of-fit tests for parametric families of Archimedean copulas
• A copula test space model how to avoid the wrong copula choice
• A new method for the construction of bivariate Archimedean copulas based on the \(\lambda\) function
• Kendall distribution functions and associative copulas
• Bayesian phase I/II adaptively randomized oncology trials with combined drugs
• Optimal dynamic hedging via copula-threshold-GARCH models
• Comments on: Inference in multivariate Archimedean copula models
• Functional characterizations of bivariate weak SAI with an application
• Archimedean copulas with applications to VaR estimation
• Convergence of Archimedean copulas
• Integral generators of Archimedean \(n\)-copulas
• On the computation of the aggregate claims distribution in the individual life model with bivariate dependencies
• A note on upper-patched generators for Archimedean copulas
• Bivariate Contours of Copula
• Archimedean copula estimation and model selection via \(l_1\)-norm symmetric distribution
• Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index
• A generalized beta copula with applications in modeling multivariate long-tailed data
• A class of symmetric bivariate uniform distributions
• Estimating Archimedean copulas in high dimensions
• Multivariate extreme value theory and its usefulness in understanding risk
• Exact and asymptotic distributions of exceedance statistics for bivariate random sequences
• Weak convergence of empirical copula processes
• Bayesian copula selection
• Estimation of a copula when a covariate affects only marginal distributions
• Parameter estimation for pair-copula constructions
• Exponential Behavior in the Presence of Dependence in Risk Theory
• Measures of risk
• A Two-Part Joint Model for the Analysis of Survival and Longitudinal Binary Data with Excess Zeros
• Computation of general correlation coefficients for interval data
• Nonparametric estimation of the tree structure of a nested Archimedean copula
• Copula analysis of mixture models
• Goodness-of-fit testing for copulas: a distribution-free approach
• A test for Archimedeanity in bivariate copula models
• Local power analysis of goodness-of-fit tests for copulas
• SEMIPARAMETRIC ESTIMATION OF THE ERROR DISTRIBUTION IN MULTIVARIATE REGRESSION USING COPULAS
• A Szekely-Rizzo inequality for testing general copula homogeneity hypotheses
• Bivariate Archimedean copula models for censored data in non-life insurance
• Inference in multivariate Archimedean copula models
• On the estimation and application of max-stable processes
• Hierarchical Kendall copulas: properties and inference
• An efficient nonparametric estimator for models with nonlinear dependence
• Weighted least-squares inference for multivariate copulas based on dependence coefficients
• Linear B-spline copulas with applications to nonparametric estimation of copulas
• Modelling stochastic mortality for dependent lives
• Inverse probability of censoring weighted estimates of Kendall's \(\tau \) for gap time analyses
• Modelling sample selection using Archimedean copulas
• Maximum likelihood inference for the multivariate \(t\) mixture model
• New Families of Copulas Based on Periodic Functions
• Bivariate option pricing using dynamic copula models
• De copulis non est disputandum. Copulae: an overview
• Title not available (Why is that?)
• The dominance relation in some families of continuous Archimedean t-norms and copulas
• Efficient Calculation of Kendall’s τ for Interval Data
• Multivariate survival distributions
• Copulas with truncation-invariance property
• On approximating max-stable processes and constructing extremal copula functions
• A multivariate extension of the increasing convex order to compare risks
• Applying copula models to individual claim loss reserving methods

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