Principles of copula theory

Probability distributions: general theory (60E05) Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Recommendations

An introduction to copulas.
Copulas: A Review and Recent Developments
Copulas and dependence models with applications. Contributions in honor of Roger B. Nelsen
An introduction to copulas. Properties and applications
Simulating copulas. Stochastic models, sampling algorithms and applications. With contributions by Claudia Czado, Elke Korn, Ralf Korn and Jakob Stöber

Cited in

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Comparisons between largest order statistics from multiple-outlier models with dependence
On order statistics and Kendall's tau
Copula-based estimation of value at risk for the portfolio problem
Maximum asymmetry of copulas revisited
On the uniform-in-bandwidth consistency of the general conditional \(U\)-statistics based on the copula representation
Copula based Bayesian data analysis of loss reserving
Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables
On quantile based co-risk measures and their estimation
Extreme biconic copulas: characterization, properties and extensions to aggregation functions
Zero-sets of copulas
Sklar's theorem, copula products, and ordering results in factor models
Some new ratio-type copulas: theory and properties
A sharp inequality for Kendall's \(\tau\) and Spearman's \(\rho\) of extreme-value copulas
On a multivariate copula-based dependence measure and its estimation
Relations between ageing and dependence for exchangeable lifetimes with an extension for the IFRA/DFRA property
On a bivariate copula for modeling negative dependence: application to New York air quality data
On the construction of radially symmetric trivariate copulas
Extremal behavior of diagonal and Bertino copulas
A differential characterization of the \(d\)-increasingness property
How simplifying and flexible is the simplifying assumption in pair-copula constructions -- analytic answers in dimension three and a glimpse beyond
scientific article; zbMATH DE number 7687801 (Why is no real title available?)
Characterizations of bivariate conic, extreme value, and Archimax copulas
On degrees of asymmetry of a copula with respect to a track
Comparison results for inactivity times of k-out-of-n and general coherent systems with dependent components
Goodness-of-fit testing for copulas: a distribution-free approach
A semiparametric model for the cause-specific hazard under risk proportionality
A revisit of the modified Celebioglu-Cuadras copula
Hierarchical variable clustering based on the predictive strength between random vectors
Confidence interval for normal means in meta-analysis based on a pretest estimator
Nonparametric estimation of the multivariate Spearman's footrule: a further discussion
The topological structures of the spaces of copulas and subcopulas
scientific article; zbMATH DE number 7387532 (Why is no real title available?)
Characterizations of copulas attaining the bounds of multivariate Kendall's tau
Extremal dependence concepts
A copula transformation in multivariate mixed discrete-continuous models
A new class of copulas having dependence range larger than FGM-type copulas
On truncation invariant copulas and their estimation
ON THE FUZZY SET THEORY AND AGGREGATION FUNCTIONS: HISTORY AND SOME RECENT ADVANCES
On dynamic mutual information for bivariate lifetimes
scientific article; zbMATH DE number 7660127 (Why is no real title available?)
Structured dependence between stochastic processes
Copulæ of processes related to the Brownian motion: a brief survey
Characterization of all copulas associated with non-continuous random variables
Distortion representations of multivariate distributions
Study of partial and average conditional Kendall's tau
On the Gumbel-Barnett extended Celebioglu-Cuadras copula
Understanding relationships with the aggregate zonal imbalance using copulas
Predicting failure times of coherent systems
A variance-based importance index for systems with dependent components
Copula-based measurement error models
On the lower bound of Spearman's footrule
Transformation of a copula using the associated co-copula
Generalized level measure based on a family of conditional aggregation operators
A compendium of copulas
Dependence properties of bivariate copula families
Supports of quasi-copulas
Spatial tail dependence and survival stability in a class of Archimedean copulas
Copulas and dependence models with applications. Contributions in honor of Roger B. Nelsen
Zero-linear copulas
New results on perturbation-based copulas
On the extension of signature-based representations for coherent systems with dependent non-exchangeable components
On weak conditional convergence of bivariate Archimedean and extreme value copulas, and consequences to nonparametric estimation
Perturbations of copulas and mixing properties
On the exact region determined by Spearman's rho and Spearman's footrule
On minimal copulas under the concordance order
VaR bounds for joint portfolios with dependence constraints
An extension of Kemperman's characterization on k-independence and its application
A few generalizations of Kendall's tau. I: Construction
Stochastic comparisons of distorted distributions, coherent systems and mixtures with ordered components
New monotone measure-based integrals inspired by scientific impact problem
Reflection invariant copulas
On extremal problems for pairs of uniformly distributed sequences and integrals with respect to copula measures
Best-possible bounds on the set of copulas with a given value of Spearman's footrule
On order statistics and their copulas
CMPH: a multivariate phase-type aggregate loss distribution
Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family
Absolutely continuous copulas with given sub-diagonal section
A new family of copulas based on probability generating functions
Aggregation and signature based comparisons of multi-state systems via decompositions of fuzzy measures
Mutual association measures
Extensions of subcopulas
Invariant correlation under marginal transforms
Matrix compatibility and correlation mixture representation of generalized Gini's gamma
Some new developments on variable-power copulas
A class of bivariate copula mappings
Copulas and tail dependence in finance
Extreme semilinear copulas
Improved robust price bounds for multi-asset derivatives under market-implied dependence information
A biconvex form for copulas
Baire category results for quasi-copulas
Copula-induced measures of concordance
Joint weak hazard rate order under non-symmetric copulas
A statistical methodology for assessing the maximal strength of tail dependence
On the measure induced by copulas that are invariant under univariate truncation
A general approach to generate random variates for multivariate copulae
Stochastic comparisons and bounds for conditional distributions by using copula properties
On the length of copula level curves
Constructions of copulas with given diagonal (and opposite diagonal) sections and some generalizations
On Copula-Itô processes
A novel positive dependence property and its impact on a popular class of concordance measures

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