Conditional expectation formulae for copulas

DOI10.1111/J.1467-842X.2007.00499.XMaRDI QIDQ6573728FDOQ6573728

Authors: Glenis J. Crane, John van der Hoek 

Publication date: 17 July 2024

Published in: Australian \& New Zealand Journal of Statistics (Search for Journal in Brave)

zbMATH Keywords

Archimedean copulasconditional expectationFarlie-Gumbel-Morgenstern copulas

Mathematics Subject Classification ID

Nonparametric inference (62Gxx) Multivariate analysis (62Hxx) Markov processes (60Jxx)

Cites Work

• An introduction to copulas. Properties and applications
• Title not available (Why is that?)
• Copulas and Markov processes
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Understanding Relationships Using Copulas
• Correlation structure in Farlie-Gumbel-Morgenstern distributions
• Modifications of the Farlie-Gumbel-Morgenstern distributions. A tough hill to climb.
• Correlation structure in iterated Farlie-Gumbel-Morgenstern distributions
• Title not available (Why is that?)

Cited In (2)

• Dealing With Endogeneity in Threshold Models Using Copulas
• Estimating causal effects from nonparanormal observational data

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