A class of multivariate copulas based on products of bivariate copulas

DOI10.1016/J.JMVA.2015.06.001MaRDI QIDQ495386zbMATH OpenOpenAlexFDO

Authors Gildas Mazo, Stéphane Girard, F. Forbes

Publication date 10 September 2015

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

Full work available at URL https://doi.org/10.1016/j.jmva.2015.06.001

zbMATH Keywords

copulagraphical modelsmultivariatemaximum-likelihood inferencemessage-passing algorithm

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
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• A characterization of Gumbel's family of extreme value distributions
• A non-parametric test of exchangeability for extreme-value and left-tail decreasing bivariate copulas
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• An introduction to copulas.
• Construction of asymmetric multivariate copulas
• Dependence measures for extreme value analyses
• Elliptical copulas: Applicability and limitations.
• Erratum to ``Construction of asymmetric multivariate copulas
• Large-sample tests of extreme-value dependence for multivariate copulas
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Pair-copula constructions of multiple dependence
• Tests of independence and randomness based on the empirical copula process
• Tests of symmetry for bivariate copulas
• The t Copula and Related Copulas

Cited in

(10)

• A flexible and tractable class of one-factor copulas
• Multivariate composite copulas
• A new family of Archimedean copulas: the truncated-Poisson family of copulas
• Estimation of high-order moment-independent importance measures for Shapley value analysis
• On a bivariate copula for modeling negative dependence: application to New York air quality data
• Characterizations of bivariate conic, extreme value, and Archimax copulas
• A streaming algorithm for bivariate empirical copulas
• A trivariate Gaussian copula stochastic frontier model with sample selection
• On the construction of radially symmetric copulas in higher dimensions
• Dependence properties and Bayesian inference for asymmetric multivariate copulas

Describes a project that uses

Uses Software

• R
• QRM
• PBC
• copula

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