Clustering Dependencies Via Mixtures of Copulas

DOI10.1080/03610918.2012.752832zbMath1333.62162OpenAlexW2053226409MaRDI QIDQ5418893

Dimitris Karlis, Veni Arakelian

Publication date: 30 May 2014

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2012.752832

zbMATH Keywords

EM algorithmmodel-based clusteringmixture modelsdependence models

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cites Work

• Parametric families of multivariate distributions with given margins
• An introduction to copulas.
• Finite mixture models and model-based clustering
• Copula model evaluation based on parametric bootstrap
• Optimal dynamic hedging via copula-threshold-GARCH models
• On the simultaneous associativity of F(x,y) and x+y-F(x,y)
• On nonparametric measures of dependence for random variables
• Asymptotic efficiency of the two-stage estimation method for copula-based models
• Contagion determination via copula and volatility threshold models
• A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence
• Identifiability of Finite Mixtures