Statistical Inference Procedures for Bivariate Archimedean Copulas

DOI10.2307/2290796zbMATH Open0785.62032OpenAlexW4240146822MaRDI QIDQ3142148FDOQ3142148

Publication date: 19 April 1994

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

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empirical process asymptotic variance empirical distribution Archimedean copula dependence structure bivariate distributions semiparametric estimator Frailty model \(U\) statistic decomposition of Kendall's tau statistic uranium 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)

Weak convergence of empirical copula processes
Comparison of estimators for pair-copula constructions
Bayesian copula selection
Parameter estimation for pair-copula constructions
Exponential Behavior in the Presence of Dependence in Risk Theory
Measures of risk
A Study on the Reliability of Consecutivek-Out-of-n: G Systems Based on Copula
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
SEMIPARAMETRIC ESTIMATION OF THE ERROR DISTRIBUTION IN MULTIVARIATE REGRESSION USING COPULAS
A Szekely-Rizzo inequality for testing general copula homogeneity hypotheses
Inference in multivariate Archimedean copula models
On the estimation and application of max-stable processes
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
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
Estimation of a Copula when a Covariate Affects only Marginal Distributions
Modeling statistical dependence of Markov chains via copula models
Copulas with truncation-invariance property
On approximating max-stable processes and constructing extremal copula functions
ON SOME PROPERTIES OF TWO VECTOR-VALUED VAR AND CTE MULTIVARIATE RISK MEASURES FOR ARCHIMEDEAN COPULAS
Permutation Monotone Functions of Random Vectors with Applications in Financial and Actuarial Risk Management
A multivariate extension of the increasing convex order to compare risks
Stat trek. An interview with Christian Genest
Applying copula models to individual claim loss reserving methods
Inverse Probability of Censoring Weighted Estimates of Kendall's τ for Gap Time Analyses
Copulas: A Review and Recent Developments
Title not available (Why is that?)
Semiparametric estimation in copula models for bivariate sequential survival times
A note on allocation of portfolio shares of random assets with Archimedean copula
Local Power Analyses of Goodness‐of‐fit Tests for Copulas
Pair-copula constructions of multiple dependence
Goodness-of-fit tests for copulas: A review and a power study
Dependence Calibration in Conditional Copulas: A Nonparametric Approach
A bivariate extension of the beta generated distribution derived from copulas
Sampling from Archimedean copulas
Discrete Schur-constant models
On the multivariate probability integral transformation
THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
A flexible and tractable class of one-factor copulas
Maximum likelihood estimation of mixed C-vines with application to exchange rates
Simulating from Exchangeable Archimedean Copulas
How to improve the fit of Archimedean copulas by means of transforms
Invariant dependence structures and Archimedean copulas
Nonparametric estimation of copula functions for dependence modelling
Testing for bivariate extreme dependence using Kendall's process
Testing the Gaussian copula hypothesis for financial assets dependences
Kendall distribution functions.
A review of copula models for economic time series
Quasi-arithmetic means of covariance functions with potential applications to space-time data
A goodness-of-fit test for Archimedean copula models in the presence of right censoring
Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection
Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
Archimedean copulae and positive dependence
On structure, family and parameter estimation of hierarchical Archimedean copulas
Estimation of the Association for Bivariate Interval‐censored Failure Time Data
Copula model evaluation based on parametric bootstrap
A family of block-wise one-factor distributions for modeling high-dimensional binary data
Robust portfolio optimization with copulas
Identification of marginal and joint {cdf}s using Bayesian method for {RBDO}
Reliability-based design optimization with confidence level under input model uncertainty due to limited test data
Estimation of association parameters in copula models for bivariate left-truncated and right-censored data
Hierarchical Kendall copulas: Properties and inference
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
On the structure and estimation of hierarchical Archimedean copulas
Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models
Goodness-of-fit tests for copulas
Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
Archimedean copulas in finite and infinite dimensions -- with application to ruin problems
A martingale approach to the copula-graphic estimator for the survival function under dependent censoring
Archimedean copula estimation using Bayesian splines smoothing techniques
Modelling co-movements and tail dependency in the international stock market via copulae
Copulas: Tales and facts (with discussion)
Estimation of high-order moment-independent importance measures for Shapley value analysis
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

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