Simulating copulas. Stochastic models, sampling algorithms and applications. With contributions by Claudia Czado, Elke Korn, Ralf Korn and Jakob Stöber
From MaRDI portal
Publication:3224015
Research exposition (monographs, survey articles) pertaining to statistics (62-02) Sampling theory, sample surveys (62D05) Characterization and structure theory of statistical distributions (62E10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02)
Recommendations
Cited in
(71)- VaR bounds in models with partial dependence information on subgroups
- Bayesian bivariate survival analysis using the power variance function copula
- A simple non-parametric goodness-of-fit test for elliptical copulas
- A directory of families of infinitely extendible Archimedean copulas
- On the construction of radially symmetric copulas in higher dimensions
- Supermigrativity of aggregation functions
- Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity
- On nonparametric tests of multivariate meta-ellipticity
- Smooth bootstrapping of copula functionals
- A primer on the characterization of the exchangeable Marshall-Olkin copula via monotone sequences
- Singular components of shock model copulas
- Multivariate copulas with hairpin support
- Adaptive importance sampling for simulating copula-based distributions
- Testing the symmetry of a dependence structure with a characteristic function
- A new approach to measure systemic risk: a bivariate copula model for dependent censored data
- Reflection invariant copulas
- A topological proof of Sklar's theorem
- A typical copula is singular
- Spatial composite likelihood inference using local C-vines
- Some new random effect models for correlated binary responses
- Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns
- Extensions of subcopulas
- Bivariate copulas generated by perturbations
- Validation of positive quadrant dependence
- Dependence of exchangeable residual lifetimes subject to failure
- Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law
- On the singular components of a copula
- Mixture regression models for closed population capture-recapture data
- Sample d-copula of order m
- An exchangeable Kendall's tau for clustered data
- Modeling biased information seeking with second order probability distributions.
- Simulation of some multivariate distributions
- Dependence modeling with copulas
- New copulas based on general partitions-of-unity and their applications to risk management
- An invitation to coupling and copulas: with applications to multisensory modeling
- Covar of families of copulas
- Simplified pair copula constructions -- limitations and extensions
- A general approach to generate random variates for multivariate copulae
- The empirical beta copula
- Multivariate dependence modeling based on comonotonic factors
- Shuffle of min's random variable approximations of bivariate copulas' realization
- A compendium of copulas
- Time-varying copula models for financial time series
- Two novel characterizations of self-decomposability on the half-line
- Truncation invariant copulas and a testing procedure
- Principles of copula theory
- Parametric modeling of sparse random trees using 3D copulas
- Practical notes on multivariate modeling based on elliptical copulas
- The mean of Marshall-Olkin-dependent exponential random variables
- Extended Marshall-Olkin model and its dual version
- Copulas, diagonals, and tail dependence
- On the construction of radially symmetric trivariate copulas
- Semi-polynomial copulas
- A note on the degree of ill-posedness for mixed differentiation on the d-dimensional unit cube
- Characterizations of multivariate distributions with limited memory revisited: an analytical approach
- A new method to construct high-dimensional copulas with Bernoulli and Coxian-2 distributions
- Copula modeling from Abe Sklar to the present day
- Hierarchical Archimedean copulas
- Bernstein copula characteristic function
- Copulae: an overview and recent developments
- The new family of Fisher copulas to model upper tail dependence and radial asymmetry: properties and application to high-dimensional rainfall data
- Reliability modeling of three-state \((k,\ell)\)-out-of-\(n\) systems subject to Marshall-Olkin shocks
- On differentiability and mass distributions of typical bivariate copulas
- Two new generators of Archimedean copulas with their properties
- A new copula regression model for hierarchical data
- Estimation in exponential families on permutations
- Extended generalized Marshall-Olkin model for dependent censoring
- Derivatives and Fisher information of bivariate copulas
- Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables
- Marshall-Olkin type copulas generated by a global shock
- An analysis of the Rüschendorf transform -- with a view towards Sklar's theorem
This page was built for publication: Simulating copulas. Stochastic models, sampling algorithms and applications. With contributions by Claudia Czado, Elke Korn, Ralf Korn and Jakob Stöber
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3224015)
