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

DOI10.1080/03610926.2019.1586936MaRDI QIDQ5077243zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

quantile estimationrisk aggregationcheckerboard copulaempirical copulascheckmin copula

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• scientific article; zbMATH DE number 3656971 (Why is no real title available?)
• A Primer on Copulas for Count Data
• A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks
• An introduction to copulas.
• Bivariate Survival Models Induced by Frailties
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• Convergence results for patchwork copulas
• Copulas and Markov processes
• High level quantile approximations of sums of risks
• Impact of dependence on some multivariate risk indicators
• Median-based estimation of the intensity of a spatial point process
• On rank correlation measures for non-continuous random variables
• On the empirical multilinear copula process for count data
• Random variables with maximum sums
• Risk aggregation with empirical margins: Latin hypercubes, empirical copulas, and convergence of sum distributions
• Solution of a statistical optimization problem by rearrangement methods
• Some approximations of \(n\)-copulas
• Strong approximation of copulas
• THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
• The empirical beta copula
• The frailty and the Archimedean structure of the general multivariate Pareto distributions
• Weak convergence of empirical copula processes

Cited in

(9)

• Probabilistic models of profiles for voting by evaluation
• Semi-parametric estimation of multivariate extreme expectiles
• A characterization of multivariate independence using copulas
• CHECKERBOARD COPULAS OF MAXIMUM ENTROPY WITH PRESCRIBED MIXED MOMENTS
• Checkerboard copula defined by sums of random variables
• Extreme quantile regression for tail single-index varying-coefficient models
• Decomposition and graphical correspondence analysis of checkerboard 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

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