Copulas checker-type approximations: application to quantiles estimation of sums of dependent random variables

DOI10.1080/03610926.2019.1586936OpenAlexW2922192865WikidataQ128224774 ScholiaQ128224774MaRDI QIDQ5077243FDOQ5077243

Authors: A. Cuberos, Esterina Masiello, Véronique Maume-Deschamps 

Publication date: 18 May 2022

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1586936

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zbMATH Keywords

quantile estimationrisk aggregationcheckerboard copulaempirical copulascheckmin copula

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Strong approximation of copulas
• Weak convergence of empirical copula processes
• A Primer on Copulas for Count Data
• An introduction to copulas.
• Copulas and Markov processes
• Convergence results for patchwork copulas
• Title not available (Why is that?)
• On the empirical multilinear copula process for count data
• THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
• The empirical beta copula
• Some approximations of \(n\)-copulas
• Bivariate Survival Models Induced by Frailties
• Random variables with maximum sums
• On rank correlation measures for non-continuous random variables
• Computation of sharp bounds on the distribution of a function of dependent risks
• Impact of dependence on some multivariate risk indicators
• Solution of a statistical optimization problem by rearrangement methods
• Median-based estimation of the intensity of a spatial point process
• Compound gamma, Beta and F distributions
• Risk aggregation with empirical margins: Latin hypercubes, empirical copulas, and convergence of sum distributions
• A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks
• The frailty and the Archimedean structure of the general multivariate Pareto distributions
• High level quantile approximations of sums of risks

Cited In (8)

• Semi-parametric estimation of multivariate extreme expectiles
• Extreme quantile regression for tail single-index varying-coefficient models
• Probabilistic models of profiles for voting by evaluation
• Decomposition and graphical correspondence analysis of checkerboard copulas
• A characterization of multivariate independence using copulas
• Estimating checkerboard approximations with sample d-copulas
• Distributions associated to the counting techniques of the d-sample copula of order m and weak convergence of the sample process
• CHECKERBOARD COPULAS OF MAXIMUM ENTROPY WITH PRESCRIBED MIXED MOMENTS

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