Dependence Modeling with Copulas
From MaRDI portal
Publication:3190362
DOI10.1201/b17116zbMath1346.62001OpenAlexW390686421MaRDI QIDQ3190362
Publication date: 17 September 2014
Full work available at URL: https://doi.org/10.1201/b17116
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (only showing first 100 items - show all)
Characterizations of bivariate conic, extreme value, and Archimax copulas ⋮ Nonparametric estimation of simplified vine copula models: comparison of methods ⋮ On truncation invariant copulas and their estimation ⋮ Dependence properties of conditional distributions of some copula models ⋮ Factor copula models for right-censored clustered survival data ⋮ A weak version of bivariate lack of memory property ⋮ Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs ⋮ Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation ⋮ Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables ⋮ Multivariate medial correlation with applications ⋮ Copula modeling for discrete random vectors ⋮ Variational inference for high dimensional structured factor copulas ⋮ Limitations and performance of three approaches to Bayesian inference for Gaussian copula regression models of discrete data ⋮ Joint inference on extreme expectiles for multivariate heavy-tailed distributions ⋮ Copula-based measurement of interdependence for discrete distributions ⋮ A new class of copula regression models for modelling multivariate heavy-tailed data ⋮ Dimension-wise scaled normal mixtures with application to finance and biometry ⋮ Bayesian bivariate survival analysis using the power variance function copula ⋮ On the family of multivariate chi-square copulas ⋮ On multivariate countermonotonic copulas and their actuarial application ⋮ Stochastic species abundance models involving special copulas ⋮ Functional equations involving Sibuya's dependence function ⋮ Coordinate-wise transformation of probability distributions to achieve a Stein-type identity ⋮ A copula-based method to build diffusion models with prescribed marginal and serial dependence ⋮ Covar of families of copulas ⋮ Multivariate models for dependent clusters of variables with conditional independence given aggregation variables ⋮ Analysis of ordinal and continuous longitudinal responses using pair copula construction ⋮ Diagonal plane sections of trivariate copulas ⋮ On identification and non-normal simulation in ordinal covariance and item response models ⋮ On the asymptotic covariance of the multivariate empirical copula process ⋮ On a bivariate copula with both upper and lower full-range tail dependence ⋮ Copula-based measures of reflection and permutation asymmetry and statistical tests ⋮ Extreme-value limit of the convolution of exponential and multivariate normal distributions: link to the Hüsler-Reiß distribution ⋮ On multivariate asymmetric dependence using multivariate skew-normal copula-based regression ⋮ Marshall-Olkin type copulas generated by a global shock ⋮ Comparison of non-nested models under a general measure of distance ⋮ A semiparametric and location-shift copula-based mixture model ⋮ Covariance model simulation using regular vines ⋮ Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications ⋮ \(D_s\)-optimality in copula models ⋮ Vine copulas for mixed data: multi-view clustering for mixed data beyond meta-Gaussian dependencies ⋮ On tail dependence coefficients of transformed multivariate Archimedean copulas ⋮ Model distances for vine copulas in high dimensions ⋮ Estimating non-simplified vine copulas using penalized splines ⋮ Vine copula approximation: a generic method for coping with conditional dependence ⋮ An asymptotic characterization of hidden tail credit risk with actuarial applications ⋮ Probabilistic analysis of solar power supply using D-vine copulas based on meteorological variables ⋮ Sequential truncation of \(R\)-vine copula mixture model for high-dimensional datasets ⋮ Copula theory and probabilistic sensitivity analysis: is there a connection? ⋮ Multivariate extreme value copulas with factor and tree dependence structures ⋮ Multivariate countermonotonicity and the minimal copulas ⋮ Multivariate dependence modeling based on comonotonic factors ⋮ Some properties of bivariate Schur-constant distributions ⋮ On conditional value at risk (CoVaR) for tail-dependent copulas ⋮ Efron's monotonicity property for measures on \(\mathbb{R}^2\) ⋮ Expert judgement for dependence in probabilistic modelling: a systematic literature review and future research directions ⋮ Random difference equations with subexponential innovations ⋮ How random is a random vector? ⋮ Non-exchangeability of copulas arising from shock models ⋮ Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition ⋮ Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients ⋮ Model selection in sparse high-dimensional vine copula models with an application to portfolio risk ⋮ Introduction to extreme value theory: applications to risk analysis and management ⋮ Prediction based on conditional distributions of vine copulas ⋮ A class of random fields with two-piece marginal distributions for modeling point-referenced data with spatial outliers ⋮ Modelling Point Referenced Spatial Count Data: A Poisson Process Approach ⋮ Factor tree copula models for item response data ⋮ A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series ⋮ Generalized Pareto copulas: a key to multivariate extremes ⋮ K-Sample Test for Equality of Copulas ⋮ Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas ⋮ Efficient and feasible inference for high-dimensional normal copula regression models ⋮ Bounds on distributional treatment effect parameters using panel data with an application on job displacement ⋮ Stationary vine copula models for multivariate time series ⋮ Lévy copulae for financial returns ⋮ Extremal dependence concepts ⋮ Reflected maxmin copulas and modeling quadrant subindependence ⋮ A mixture of regular vines for multiple dependencies ⋮ Multivariate distributions of correlated binary variables generated by pair-copulas ⋮ Hierarchical Archimedean copulas through multivariate compound distributions ⋮ Dependence structure estimation using copula recursive trees ⋮ Inducing a desired value of correlation between two point-scale variables: a two-step procedure using copulas ⋮ Copula-based Black-Litterman portfolio optimization ⋮ On copulas of self-similar Ito processes ⋮ New results on perturbation-based copulas ⋮ CopulaModel ⋮ Testing for changes in the tail behavior of Brown-Resnick Pareto processes ⋮ Effective estimation algorithm for parameters of multivariate Farlie-Gumbel-Morgenstern copula ⋮ Multivariate failure time distributions derived from shared frailty and copulas ⋮ Sample selection models with monotone control functions ⋮ Statistical dependence: beyond Pearson's \(\rho\) ⋮ Baire category results for stochastic orders ⋮ Parameter estimation for multi-state coherent series and parallel systems with positively quadrant dependent models ⋮ Distortion representations of multivariate distributions ⋮ Asymptotic independence and support detection techniques for heavy-tailed multivariate data ⋮ Total positivity of copulas from a Markov kernel perspective ⋮ Multiple inflated negative binomial regression for correlated multivariate count data ⋮ Copula-based measures of asymmetry between the lower and upper tail probabilities ⋮ Selection of mixed copula for association modeling with tied observations ⋮ Bayesian empirical likelihood inference for the generalized binomial AR(1) model
This page was built for publication: Dependence Modeling with Copulas
