scientific article; zbMATH DE number 1134711

zbMATH Open0990.62517MaRDI QIDQ4382161FDOQ4382161

Authors: Harry Joe 

Publication date: 29 March 1998

Title of this publication is not available (Why is that?)

Recommendations

• Introduction to probability. Vol. 2. Multivariate models and applications
• Modeling and Inference for Multivariate Binary Data with Positive Dependence
• Dependence modeling with copulas
• scientific article; zbMATH DE number 1964693

Mathematics Subject Classification ID

Multivariate analysis (62H99) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01)

Cited In (only showing first 100 items - show all)

• Weak convergence of empirical copula processes
• Pair copula constructions for multivariate discrete data
• A wavelet based approach to measure and manage contagion at different time scales
• Extending approximate Bayesian computation methods to high dimensions via a Gaussian copula model
• Variational Bayes with synthetic likelihood
• pyvine: the Python package for regular vine copula modeling, sampling and testing
• Vine copulas with asymmetric tail dependence and applications to financial return data
• Correlated age-specific mortality model: an application to annuity portfolio management
• Vines -- a new graphical model for dependent random variables.
• Parameter estimation for pair-copula constructions
• Model distances for vine copulas in high dimensions
• Goodness-of-fit tests for elliptical and independent copulas through projection pursuit
• Vine copula specifications for stationary multivariate Markov chains
• Semi-parametric models for the multivariate tail dependence function -- the asymptotically dependent case
• Prediction via the quantile-copula conditional density estimator
• Mixture of D-vine copulas for modeling dependence
• Factor copula models for item response data
• Measuring and testing interdependence among random vectors based on Spearman's \(\rho\) and Kendall's \(\tau\)
• A measure of mutual complete dependence
• Multivariate count autoregression
• Conditional copula simulation for systemic risk stress testing
• Asymptotic efficiency of the two-stage estimation method for copula-based models
• Copula functions for residual dependency
• Multiprocess parallel antithetic coupling for backward and forward Markov chain Monte Carlo
• Tests of independence and randomness based on the empirical copula process
• On kernel-based estimation of conditional Kendall's tau: finite-distance bounds and asymptotic behavior
• Conditional quantiles and tail dependence
• On copula-based conditional quantile estimators
• Truncated regular vines in high dimensions with application to financial data
• Bayesian model selection for D-vine pair-copula constructions
• Nonparametric C- and D-vine-based quantile regression
• Multivariate Kendall's tau for change-point detection in copulas
• The t Copula and Related Copulas
• Sampling nested Archimedean copulas
• COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES
• A general approach to generate random variates for multivariate copulae
• Copula-based nonlinear quantile autoregression
• Weighted scores estimating equations and CL1 information criteria for longitudinal ordinal response
• Pair-copula constructions of multiple dependence
• Selecting and estimating regular vine copulae and application to financial returns
• Goodness-of-fit tests for copulas: A review and a power study
• On blest's measure of rank correlation
• D-vine copula based quantile regression
• Testing the simplifying assumption in high-dimensional vine copulas
• Likelihood inference for Archimedean copulas in high dimensions under known margins
• Sampling from Archimedean copulas
• Bivariate Location–Scale Models for Regression Analysis, with Applications to Lifetime Data
• Efficiency of Generalized Estimating Equations for Binary Responses
• Measuring reproducibility of high-throughput experiments
• Convolution-closed models for count time series with applications
• Maximum likelihood estimation of mixed C-vines with application to exchange rates
• Copula-Based Models for Multivariate Discrete Response Data
• A Primer on Copulas for Count Data
• Dose-Finding Based on Efficacy-Toxicity Trade-Offs
• Factor tree copula models for item response data
• A Conditional Approach for Multivariate Extreme Values (with Discussion)
• Factor copula models for multivariate data
• Stationary vine copula models for multivariate time series
• Nonparametric estimation of copula functions for dependence modelling
• Efficient and feasible inference for high-dimensional normal copula regression models
• A general framework for testing homogeneity hypotheses about copulas
• Estimation of copula-based semiparametric time series models
• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• On the estimation of normal copula discrete regression models using the continuous extension and simulated likelihood
• Simplified pair copula constructions -- limitations and extensions
• Extreme value properties of multivariate \(t\) copulas
• A boundary mixture approach to violations of conditional independence
• A review of copula models for economic time series
• Beyond simplified pair-copula constructions
• Efficiently sampling nested Archimedean copulas
• Time series with infinite-order partial copula dependence
• Multivariate extreme models based on underlying skew-\(t\) and skew-normal distributions
• The empirical beta copula
• A kolmogorov-smirnov type test for positive quadrant dependence
• Composite likelihood estimation in multivariate data analysis
• Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection
• Semiparametric estimation in copula models
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• On Families of Distributions with Shape Parameters
• Bi-factor and second-order copula models for item response data
• Copula model evaluation based on parametric bootstrap
• Tail dependence functions and vine copulas
• Finite normal mixture copulas for multivariate discrete data modeling
• A family of block-wise one-factor distributions for modeling high-dimensional binary data
• Bivariate Student \(t\) distributions with variable marginal degrees of freedom and independence
• On the simplified pair-copula construction -- simply useful or too simplistic?
• Comparison of semiparametric and parametric methods for estimating copulas
• Estimating copula densities through wavelets
• Sampling algorithms for generating joint uniform distributions using the Vine-Copula method
• Efficient simulation for dependent rare events with applications to extremes
• Gaussian copula marginal regression
• Generating random correlation matrices based on partial correlations
• Drawdown risk measures for asset portfolios with high frequency data
• Construction of asymmetric multivariate copulas
• Efficient estimation of copula-based semiparametric Markov models
• Convex geometry of max-stable distributions
• Tests of independence among continuous random vectors based on Cramér-von Mises functionals of the empirical copula process
• A goodness of fit test for copulas based on Rosenblatt's transformation
• Tails of multivariate Archimedean copulas
• Elliptical copulas: Applicability and limitations.

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4382161)