Practical notes on multivariate modeling based on elliptical copulas

zbMATH Open1316.62066MaRDI QIDQ5262084FDOQ5262084

Jun Yan, Xiaojing Wang

Publication date: 13 July 2015

Full work available at URL: http://journal-sfds.fr/article/view/157/

zbMATH Keywords

importance samplingelliptical distributionconditional samplingmarginal consistency

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Sampling theory, sample surveys (62D05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to environmental and related topics (62P12) Applications of functional analysis in probability theory and statistics (46N30)

Cited In (4)

• Bayesian meta-elliptical multivariate regression models with fixed marginals on unit intervals
• On the asymptotic covariance of the multivariate empirical copula process
• An overview of heavy-tail extensions of multivariate Gaussian distribution and their relations
• Identifiability and estimation of meta-elliptical copula generators

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