Multivariate dependence modeling based on comonotonic factors

DOI10.1016/j.jmva.2017.01.008zbMath1356.62076OpenAlexW2573623087MaRDI QIDQ512029

Lei Hua, Joe, Harry

Publication date: 23 February 2017

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2017.01.008

zbMATH Keywords

copulaLaplace transformbi-factordependence clusters/groupsparsimonious dependence models

Mathematics Subject Classification ID

Multivariate analysis (62H99) Factor analysis and principal components; correspondence analysis (62H25)

Related Items (2)

Detection of block-exchangeable structure in large-scale correlation matrices ⋮ Assessing bivariate tail non-exchangeable dependence

Uses Software

• QRM

Cites Work

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