Statistical Inference Procedures for Bivariate Archimedean Copulas
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Cited in
(only showing first 100 items - show all)- Bayesian copula selection
- Construction of bivariate S-distributions with copulas
- Comparison of semiparametric and parametric methods for estimating copulas
- Sampling algorithms for generating joint uniform distributions using the Vine-Copula method
- Archimedean copula estimation using Bayesian splines smoothing techniques
- Decomposition of a Schur-constant model and its applications
- Copula model evaluation based on parametric bootstrap
- GeD spline estimation of multivariate Archimedean copulas
- Linear B-spline copulas with applications to nonparametric estimation of copulas
- Optimal dynamic hedging via copula-threshold-GARCH models
- Quasi-arithmetic means of covariance functions with potential applications to space-time data
- The dominance relation in some families of continuous Archimedean t-norms and copulas
- A goodness-of-fit test for Archimedean copula models in the presence of right censoring
- Goodness-of-fit tests for copulas: A review and a power study
- Dependence and order in families of Archimedean copulas
- On the computation of the aggregate claims distribution in the individual life model with bivariate dependencies
- Kendall distribution functions.
- Characterizations of bivariate conic, extreme value, and Archimax copulas
- Modelling bivariate lifetime data using copula
- The determinants of CDS spreads: evidence from the model space
- Multinomial choice models based on Archimedean copulas
- Nonparametric estimation of the tree structure of a nested Archimedean copula
- De copulis non est disputandum. Copulae: an overview
- Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family
- Some copula inference procedures adapted to the presence of ties
- Hybrid Clayton-Frank convolution-based bivariate Archimedean copula
- A family of block-wise one-factor distributions for modeling high-dimensional binary data
- Managing risk with a realized copula parameter
- On the length of copula level curves
- Estimation of hierarchical Archimedean copulas as a shortest path problem
- Archimedean-based Marshall-Olkin distributions and related dependence structures
- Estimators based on trimmed Kendall's tau in multivariate copula models
- On a one time-step Monte Carlo simulation approach of the SABR model: application to European options
- On the estimation of Pareto fronts from the point of view of copula theory
- Inference in multivariate Archimedean copula models
- Comments on: Inference in multivariate Archimedean copula models
- Rejoinder on: Inference in multivariate Archimedean copula models
- Weak convergence of empirical copula processes
- Archimedean copulae and positive dependence
- Copula approaches for modeling cross-sectional dependence of data breach losses
- A class of symmetric bivariate uniform distributions
- Parameter estimation for pair-copula constructions
- Modelling co-movements and tail dependency in the international stock market via copulae
- Bivariate distributions with given extreme value attractor
- On weak conditional convergence of bivariate Archimedean and extreme value copulas, and consequences to nonparametric estimation
- A framework for measuring association of random vectors via collapsed random variables
- Archimedean copulas with applications to VaR estimation
- Properties of the marginal survival functions for dependent censored data under an assumed Archimedean copula
- The min-characteristic function: characterizing distributions by their min-linear projections
- Simultaneous inference for Kendall's tau
- On convergence of associative copulas and related results
- Goodness-of-fit test of copula functions for semi-parametric univariate time series models
- A new family of Archimedean copulas: the truncated-Poisson family of copulas
- A goodness-of-fit test based on Kendall's process: Durante's bivariate copula models
- Relations between ageing and dependence for exchangeable lifetimes with an extension for the IFRA/DFRA property
- Structural change in the link between oil and the European stock market: implications for risk management
- Dependence measure for length-biased survival data using copulas
- Spearman rank correlation of the bivariate Student \(t\) and scale mixtures of normal distributions
- Goodness-of-fit testing for copulas: a distribution-free approach
- Nonparametric Archimedean generator estimation with implications for multiple testing
- A copula-based method of classifying individuals into binary disease categories using dependent biomarkers
- A Szekely-Rizzo inequality for testing general copula homogeneity hypotheses
- Inferring association from reliability functions: an approach based on copulas
- Robust portfolio optimization with copulas
- On the estimation and application of max-stable processes
- Survival function estimation of current status data with dependent censoring
- A Bayesian semiparametric Archimedean copula
- Comparison of stochastic correlation models
- Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index
- A hierarchical copula-based world-wide valuation of sovereign risk
- A moment-based test for extreme-value dependence
- Exact and asymptotic distributions of exceedance statistics for bivariate random sequences
- Model robust inference with two-stage maximum likelihood estimation for copulas
- Multivariate longitudinal modeling of insurance company expenses
- Three-stage semi-parametric estimation of \(t\)-copulas: asymptotics, finite-sample properties and computational aspects
- Modified Gaussian pseudo-copula: applications in insurance and finance
- A generalization of the Kaplan-Meier estimator for analyzing bivariate mortality under right-censoring and left-truncation with applications in model-checking for survival copula models
- A note on allocation of portfolio shares of random assets with Archimedean copula
- A generalization of the Archimedean class of bivariate copulas
- Copulas: Tales and facts (with discussion)
- Modeling statistical dependence of Markov chains via copula models
- Convergence of Archimedean copulas
- Copula analysis of mixture models
- Copula parameter estimation by maximum-likelihood and minimum-distance estimators: a simulation study
- Bivariate option pricing using dynamic copula models
- A diagnostic for association in bivariate survival models
- Modeling dependence via copula of functionals of Fourier coefficients
- A new bivariate Archimedean copula with application to the evaluation of VaR
- Computation of general correlation coefficients for interval data
- An efficient nonparametric estimator for models with nonlinear dependence
- A study on the reliability of consecutive k-out-of-n: G systems based on copula
- Weighted least-squares inference for multivariate copulas based on dependence coefficients
- Efficient Calculation of Kendall’s τ for Interval Data
- Cluster analysis of time series via Kendall distribution
- Selecting the suitable copula function when only values of distribution functions are avaliable
- A model selection test for bivariate failure-time data
- Maximum likelihood inference for the multivariate t mixture model
- Estimating Archimedean copulas in high dimensions
- Testing for bivariate extreme dependence using Kendall's process
- Dependence Calibration in Conditional Copulas: A Nonparametric Approach
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