Joint modelling of the body and tail of bivariate data
From MaRDI portal
Publication:6071704
DOI10.1016/j.csda.2023.107841arXiv2209.05795OpenAlexW4386413635MaRDI QIDQ6071704
No author found.
Publication date: 28 November 2023
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2209.05795
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A multivariate piecing-together approach with an application to operational loss data
- The multivariate piecing-together approach revisited
- A hybrid Pareto model for asymmetric fat-tailed data: the univariate case
- A semiparametric Bayesian approach to extreme value estimation
- A flexible extreme value mixture model
- A dynamical mixture model for unsupervised tail estimation without threshold selection
- New copulas based on general partitions-of-unity and their applications to risk management. II.
- Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity
- Generating unfavourable VaR scenarios under Solvency II with patchwork copulas
- Modeling spatial extremes using normal mean-variance mixtures
- New copulas based on general partitions-of-unity. III: The continuous case
- Accounting for the threshold uncertainity in extreme value estimation
- A method to obtain new copulas from a given one
- Dependence Modeling with Copulas
- Rectangular Patchwork for Bivariate Copulas and Tail Dependence
- Bayesian analysis of extreme events with threshold estimation
- Distorted Copulas: Constructions and Tail Dependence
- Statistics for near independence in multivariate extreme values
- Factor Copula Models for Replicated Spatial Data
- Modeling Spatial Processes with Unknown Extremal Dependence Class
- Gluing Copulas
- A NEW MEASURE OF RANK CORRELATION
- An introduction to statistical modeling of extreme values
- Dependence measures for extreme value analyses
- A directory of coefficients of tail dependence
This page was built for publication: Joint modelling of the body and tail of bivariate data