The meta-elliptical distributions with given marginals

DOI10.1006/JMVA.2001.2017zbMATH Open1002.62016OpenAlexW2070469752MaRDI QIDQ697465FDOQ697465

Authors: Hong-Bin Fang, Kai-Tai Fang, Samuel Kotz

Publication date: 17 September 2002

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

Full work available at URL: https://doi.org/10.1006/jmva.2001.2017

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zbMATH Keywords

subexponential

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Characterization and structure theory of statistical distributions (62E10)

Cites Work

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Extending approximate Bayesian computation methods to high dimensions via a Gaussian copula model
Canonical correlation analysis for elliptical copulas
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Vine copulas with asymmetric tail dependence and applications to financial return data
On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence
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A simple non-parametric goodness-of-fit test for elliptical copulas
Comparison, utility, and partition of dependence under absolutely continuous and singular distributions
Stochastic frontier models with dependent error components
Estimating correlation from dichotomized normal variables
Meta densities and the shape of their sample clouds
A method of moments estimator of tail dependence
Nonparametric Identification of Copula Structures
An extreme-value approach for testing the equality of large U-statistic based correlation matrices
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A method of moments estimator of tail dependence in meta-elliptical models
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Meta-elliptical copulas for drought frequency analysis of periodic hydrologic data
Forecasting time series with multivariate copulas
Some extremal type elliptical distributions
Robust factor number specification for large-dimensional elliptical factor model
Testing for spherical and elliptical symmetry
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