Factor Copula Approaches for Assessing Spatially Dependent High-Dimensional Risks

DOI10.1080/10920277.2016.1246251OpenAlexW2584759378MaRDI QIDQ5379211

Michelle Xia, Lei Hua, Sanjib Basu

Publication date: 28 May 2019

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2016.1246251

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Conditional normal extreme-value copulas

Uses Software

• CopulaModel

Cites Work

• Pair-copula constructions of multiple dependence
• Factor copula models for multivariate data
• Vines -- a new graphical model for dependent random variables.
• Factor copula models for item response data
• Structured factor copula models: theory, inference and computation
• Spatial composite likelihood inference using local C-vines
• Dependence Modeling with Copulas
• R‐vine models for spatial time series with an application to daily mean temperature
• Multivariate extreme‐value distributions with applications to environmental data
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