Factor copula models for multivariate data

DOI10.1016/j.jmva.2013.05.001zbMath1280.62070WikidataQ56865728 ScholiaQ56865728MaRDI QIDQ391802

Joe, Harry, Pavel Krupskii

Publication date: 13 January 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2013.05.001

zbMATH Keywords

factor analysis; conditional independence; tail dependence; pair-copula construction; partial correlations; tail asymmetry; truncated vines

Mathematics Subject Classification ID

62H25: Factor analysis and principal components; correspondence analysis

62P05: Applications of statistics to actuarial sciences and financial mathematics

62H20: Measures of association (correlation, canonical correlation, etc.)

62G32: Statistics of extreme values; tail inference

Uses Software

• VineCopula