Parametric families of multivariate distributions with given margins

DOI10.1006/JMVA.1993.1061zbMATH Open0778.62045OpenAlexW1978290902MaRDI QIDQ689348FDOQ689348

Harry Joe

Publication date: 6 December 1993

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.1993.1061

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zbMATH Keywords

Laplace transformcopulamixtureindependencepermutation symmetrytail dependencebivariate familiesextreme value inferencefamilies of continuous bivariate distributionsgiven marginsopen research problemsordered by concordanceperfect positive dependencesymmetry about medians

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cited In (99)

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• On the recovery of joint distributions from limited information
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• COPULAS WITH GIVEN DIAGONAL SECTIONS: NOVEL CONSTRUCTIONS AND APPLICATIONS
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• Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
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• Measuring the extremal dependence
• Modelling co-movements and tail dependency in the international stock market via copulae
• Dependence between oil and commodities markets using time-varying Archimedean copulas and effectiveness of hedging strategies
• A Semiparametric Transition Model with Latent Traits for Longitudinal Multistate Data
• Tail Spectral Density Estimation and Its Uncertainty Quantification: Another Look at Tail Dependent Time Series Analysis
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• Spatial Interpolation of Extreme PM1 Values Using Copulas
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• Hierarchical Transformed Scale Mixtures for Flexible Modeling of Spatial Extremes on Datasets With Many Locations
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• On the exact region determined by Spearman's \(\rho\) and Blest's measure of rank correlation \(\nu\) for bivariate extreme-value copulas
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• Sub-asymptotic motivation for new conditional multivariate extreme models
• Dependence modelling in insurance via copulas with skewed generalised hyperbolic marginals
• A new family of Archimedean copulas: the truncated-Poisson family of copulas
• Study of semiparametric copula models via divergences with bivariate censored data

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