Maintaining tail dependence in data shuffling using t copula

DOI10.1016/J.SPL.2010.12.002MaRDI QIDQ631546zbMATH OpenOpenAlexFDO

Authors Mario Trottini, Krish Muralidhar, Rathindra Sarathy

Publication date 14 March 2011

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2010.12.002

zbMATH Keywords

copulasstatistical confidentialitydata disseminationdisclosure riskdata shuffling

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cites work

• scientific article; zbMATH DE number 3673370 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• An introduction to copulas.
• Construction of asymmetric multivariate copulas
• Empirical estimation of tail dependence using copulas: application to Asian markets
• Extending the rank likelihood for semiparametric copula estimation
• Family of multivariate generalized \(t\) distributions
• Handling the dependence of claim severities with copula models
• Perturbation of numerical confidential data via skew-\(t\) distributions
• The t Copula and Related Copulas
• Understanding Relationships Using Copulas

Cited in

(3)

• Statistical disclosure control for continuous variables using an extended skew-t copula
• Vine copula statistical disclosure control for mixed-type data
• Shuffles of copulas

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