Copula parameter estimation using Blomqvist's beta

zbMATH Open1316.62069MaRDI QIDQ5262078FDOQ5262078

Fanny Harvey, Alberto Carabarin-Aguirre, Christian Genest

Publication date: 13 July 2015

Full work available at URL: http://journal-sfds.fr/article/view/165/

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zbMATH Keywords

extreme-value copulaKendall's tauArchimedean copulameta-elliptical copulaBlomqvist's beta

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cited In (14)

• A bivariate geometric distribution allowing for positive or negative correlation
• Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables
• A simple non-parametric goodness-of-fit test for elliptical copulas
• Computation and estimation of reliability for some bivariate copulas with Pareto marginals
• Quantile spectral processes: asymptotic analysis and inference
• Detecting departures from meta-ellipticity for multivariate stationary time series
• Copulae: an overview and recent developments
• Copulas Based on Marshall–Olkin Machinery
• Smoothed bootstrap methods for bivariate data
• On the class of truncation invariant bivariate copulas under constraints
• On nonparametric tests of multivariate meta-ellipticity
• A new parametric method of estimating the joint probability density
• A new parametric method of estimating the joint probability density: revisited
• Binary distributions of concentric rings

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