Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
From MaRDI portal
(Redirected from Publication:3411078)
Recommendations
Cites work
- A class of bivariate distributions including the bivariate logistic
- A goodness-of-fit test for association in a bivariate survival model
- A nonparametric estimation procedure for bivariate extreme value copulas
- An introduction to copulas. Properties and applications
- Biometrika centenary: Survival analysis
- Bivariate distributions with given extreme value attractor
- Bivariate option pricing using dynamic copula models
- Checking the adequacy of the gamma frailty model for multivariate failure times
- Estimation of a bivariate extreme value distribution
- Fitting bivariate loss distributions with copulas
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- Modelling failure-time associations in data with multiple levels of clustering
- On Kendall's process
- On the joint asymptotic behavior of two rank-based estimators of the association parameter in the gamma frailty model
- On the multivariate probability integral transformation
- On the simultaneous associativity of F(x,y) and x+y-F(x,y)
- Robust portfolio optimization
- The Use of Archimedean Copulas to Model Portfolio Allocations
- Understanding Relationships Using Copulas
Cited in
(only showing first 100 items - show all)- Testing for equality between two copulas
- Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market
- Estimating copula densities through wavelets
- Comparison of semiparametric and parametric methods for estimating copulas
- A goodness of fit test for copulas based on Rosenblatt's transformation
- Quantile curves and dependence structure for bivariate distributions
- Archimedean copula estimation using Bayesian splines smoothing techniques
- Copula model evaluation based on parametric bootstrap
- GeD spline estimation of multivariate Archimedean copulas
- Goodness-of-fit tests for copulas: A review and a power study
- Parametric likelihood inference and goodness-of-fit for dependently left-truncated data, a copula-based approach
- Goodness-of-fit tests for elliptical and independent copulas through projection pursuit
- Inference in multivariate Archimedean copula models
- Mixture of D-vine copulas for modeling dependence
- Estimating discrete Markov models from various incomplete data schemes
- Vine copulas with asymmetric tail dependence and applications to financial return data
- A note on testing independence by a copula-based order selection approach
- A new dependence measure for importance analysis: application to an environmental model
- Sensitivity analysis method for model with correlated inputs and multivariate output and its application to aircraft structure
- Weak convergence of empirical and bootstrapped \(C\)-power processes and application to copula goodness-of-fit
- Counterdiagonal/nonpositive tail dependence in vine copula constructions: application to portfolio management
- Bivariate Chen distribution based on copula function: properties and application of diabetic nephropathy
- A goodness-of-fit test for copulas based on the collision test
- On a bivariate copula for modeling negative dependence: application to New York air quality data
- The general tail dependence function in the Marshall-Olkin and other parametric copula models with an application to financial time series
- A goodness-of-fit test based on Kendall's process: Durante's bivariate copula models
- Dependence measure for length-biased survival data using copulas
- Goodness-of-fit testing for copulas: a distribution-free approach
- Stochastic comparison of lifetimes of two \((n - k + 1)\)-out-of-\(n\) systems with heterogeneous dependent components
- Statistical properties of parametric estimators for Markov chain vectors based on copula models
- Benford's law beyond independence : tracking Benford behavior in copula models
- A goodness-of-fit test for copulas based on martingale transformation
- Comparison of stochastic correlation models
- A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost
- Some alternative bivariate Kumaraswamy-type distributions via copula with application in risk management
- Asymptotically distribution-free goodness-of-fit testing for tail copulas
- Efficient information based goodness-of-fit tests for vine copula models with fixed margins: a comprehensive review
- Multivariate longitudinal modeling of insurance company expenses
- Three-stage semi-parametric estimation of \(t\)-copulas: asymptotics, finite-sample properties and computational aspects
- 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
- Dependence structure of conditional Archimedean copulas
- Convergence of Archimedean copulas
- Copula parameter estimation by maximum-likelihood and minimum-distance estimators: a simulation study
- Asymptotic total variation tests for copulas
- Copula Density Estimation Using Multiwavelets Based on the Multiresolution Analysis
- An overview of the goodness-of-fit test problem for copulas
- A model selection test for bivariate failure-time data
- Testing for bivariate extreme dependence using Kendall's process
- Copula fitting to autocorrelated data, with applications to wind speed modelling
- A new method for the construction of bivariate Archimedean copulas based on the function
- Fitting high-dimensional copulae to data
- Multi-objective portfolio optimization considering the dependence structure of asset returns
- On the family of multivariate chi-square copulas
- Stat Trek. An interview with Christian Genest
- Goodness-of-fit tests for Archimedean copula models
- Goodness-of-fit tests for parametric families of Archimedean copulas
- Semiparametric estimation of the parameters of multivariate copulas
- On a new goodness-of-fit process for families of copulas
- On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence
- On multivariate extensions of value-at-risk
- Bivariate rainfall and runoff analysis using entropy and copula theories
- Autocopulas: investigating the interdependence structure of stationary time series
- A test for Archimedeanity in bivariate copula models
- Likelihood inference for Archimedean copulas in high dimensions under known margins
- Bivariate odds ratio and association measures
- How to improve the fit of Archimedean copulas by means of transforms
- Longitudinal modeling of insurance claim counts using jitters
- A family of goodness-of-fit tests for copulas based on characteristic functions
- Estimation and goodness-of-fit procedures for Farlie-Gumbel-Morgenstern bivariate copula of order statistics
- Testing independence for Archimedean copula based on Bernstein estimate of Kendall distribution function
- A copula-based approach for estimating the survival functions of two alternating recurrent events
- Maximum likelihood estimation of mixed C-vines with application to exchange rates
- scientific article; zbMATH DE number 7529803 (Why is no real title available?)
- A goodness-of-fit test for copulas
- Goodness‐of‐fit for regime‐switching copula models with application to option pricing
- A goodness-of-fit test based on Bézier curve estimation of Kendall distribution
- Do stock returns have an Archimedean copula?
- Estimation of association parameters in copula models for bivariate left-truncated and right-censored data
- On some properties of two vector-valued VaR and CTE multivariate risk measures for Archimedean copulas
- Analysis of directional dependence using asymmetric copula-based regression models
- Truncation invariant copulas and a testing procedure
- Assessing stock market dependence and contagion
- On the structure and estimation of hierarchical Archimedean copulas
- Hierarchical Kendall copulas: properties and inference
- The copula information criteria
- Estimation of multivariate conditional-tail-expectation using Kendall's process
- Nonparametric estimation of copula functions for dependence modelling
- SEMIPARAMETRIC ESTIMATION OF THE ERROR DISTRIBUTION IN MULTIVARIATE REGRESSION USING COPULAS
- A goodness-of-fit test for regular vine copula models
- Generalized information matrix tests for copulas
- Comments on: Inference in multivariate Archimedean copula models
- Out-of-sample comparison of copula specifications in multivariate density forecasts
- A weighted independence test based on smooth estimation of Kendall distribution
- scientific article; zbMATH DE number 7712507 (Why is no real title available?)
- The weighted characteristic function of the multivariate PIT: independence and goodness-of-fit tests
- Copula modeling from Abe Sklar to the present day
- A goodness-of-fit test for bivariate extreme-value copulas
- Invariant dependence structures and Archimedean copulas
- On the construction of a semiparametric family of bivariate copulas using the opposite diagonal section of copulas
- Testing bivariate independence based on α -divergence by improved probit transformation method for copula density estimation
This page was built for publication: Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3411078)