scientific article; zbMATH DE number 7712507

DOI10.57805/REVSTAT.V20I5.390MaRDI QIDQ6174111zbMATH OpenFDO

Authors Selim Orhun Susam, Mahmut Sami Erdoğan

Publication date 13 July 2023

Full work available at URL https://doi.org/10.57805/REVSTAT.V20I5.390

zbMATH Keywords

Archimedean copulaBernstein polynomialsKendall's tautail dependence

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cites work

• A goodness-of-fit test based on Bézier curve estimation of Kendall distribution
• A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence
• A new method for the construction of bivariate Archimedean copulas based on the function
• An alternative distribution function estimation method using rational Bernstein polynomials
• An introduction to copulas.
• Asymptotically unbiased estimation of the coefficient of tail dependence
• Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
• Empirical estimation of tail dependence using copulas: application to Asian markets
• GeD spline estimation of multivariate Archimedean copulas
• Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
• scientific article; zbMATH DE number 3152042 (Why is no real title available?)
• scientific article; zbMATH DE number 2133305 (Why is no real title available?)
• scientific article; zbMATH DE number 7590016 (Why is no real title available?)
• Non-parametric Estimation of Tail Dependence
• Nonparametric estimation of the tail-dependence coefficient
• On Kendall's process
• On the simultaneous associativity of F(x,y) and x+y-F(x,y)
• Risk management: Value at risk and beyond
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Tail dependence between order statistics
• Tail dependence of skew t-copulas
• Testing independence for Archimedean copula based on Bernstein estimate of Kendall distribution function
• Understanding Relationships Using Copulas

Cited in

(2)

• A multi-parameter generalized Farlie-Gumbel-Morgenstern bivariate copula family via Bernstein polynomial
• scientific article; zbMATH DE number 7590016 (Why is no real title available?)

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