The meta-elliptical distributions with given marginals

DOI10.1006/jmva.2001.2017zbMath1002.62016OpenAlexW2070469752MaRDI QIDQ697465

Kai-Tai Fang, Hong-Bin 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

zbMATH Keywords

subexponential

Mathematics Subject Classification ID

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

Related Items

Adaptive estimation of the copula correlation matrix for semiparametric elliptical copulas, Estimation of high-order moment-independent importance measures for Shapley value analysis, An overview of heavy-tail extensions of multivariate Gaussian distribution and their relations, A literature review of (Sparse) exponential family PCA, Robust modeling using non-elliptically contoured multivariate \(t\) distributions, Estimating correlation from dichotomized normal variables, Finite normal mixture copulas for multivariate discrete data modeling, A family of bivariate distributions with non-elliptical contours, On attainability of Kendall's tau matrices and concordance signatures, MULTIVARIATE HEAVY-TAILED MODELS FOR VALUE-AT-RISK ESTIMATION, Trade and currency options hedging model, On a consistent rank estimate in a linear structural model, A simple non-parametric goodness-of-fit test for elliptical copulas, High-Dimensional Copula Variational Approximation Through Transformation, Copula Structure Analysis, Model-based clustering using copulas with applications, Reliability of maximum spanning tree identification in correlation-based market networks, Modeling spot price dependence in Australian electricity markets with applications to risk management, Optimal Expected-Shortfall Portfolio Selection with Copula-Induced Dependence, Stochastic monotonicity of dependent variables given their sum, Extending approximate Bayesian computation methods to high dimensions via a Gaussian copula model, Parametric and semiparametric copula-based models for the regression analysis of competing risks, Using Copulas to Model Time Dependence in Stochastic Frontier Models, Stress-strength reliability with dependent variables based on copula function, Nonparametric Identification of Copula Structures, Families of distributions arising from distributions of order statistics, A joint mean-correlation modeling approach for longitudinal zero-inflated count data, A new multivariate t distribution with variant tail weights and its application in robust regression analysis, Tests of symmetry for bivariate copulas, Vine copulas with asymmetric tail dependence and applications to financial return data, Bayesian model choice of grouped \(t\)-copula, Stochastic frontier models with dependent error components, An application of copulas to OPEC’s changing influence on fossil fuel prices, Data assimilation for large‐scale spatio‐temporal systems using a location particle smoother, Comparison, utility, and partition of dependence under absolutely continuous and singular distributions, Copula-based inference for bivariate survival data with left truncation and dependent censoring, Implicit Copula Variational Inference, Spearman rank correlation of the bivariate Student \(t\) and scale mixtures of normal distributions, A method of moments estimator of tail dependence in meta-elliptical models, Efficient maximum likelihood estimation of copula based meta \(t\)-distributions, A robust score-driven filter for multivariate time series, Testing for independence in high dimensions based on empirical copulas, The weighted characteristic function of the multivariate PIT: independence and goodness-of-fit tests, Testing for spherical and elliptical symmetry, Dependence modelling in insurance via copulas with skewed generalised hyperbolic marginals, Tail dependence for regularly varying time series, Modelling co-movements and tail dependency in the international stock market via copulae, Elliptical copulas: Applicability and limitations., Modified Gaussian pseudo-copula: applications in insurance and finance, Predicting dependent binary outcomes through logistic regressions and meta-elliptical copulas, On the specification of multivariate association measures and their behaviour with increasing dimension, Bivariate Student \(t\) distributions with variable marginal degrees of freedom and independence, Dependence in elliptical partial correlation graphs, Detecting departures from meta-ellipticity for multivariate stationary time series, An extreme-value approach for testing the equality of large U-statistic based correlation matrices, Copula-based mixed models for bivariate rainfall data: an empirical study in regression perspective, Detection of block-exchangeable structure in large-scale correlation matrices, Graphical lassos for meta‐elliptical distributions, On the choice of the smoothing parameter for the BHEP goodness-of-fit test, Copula-Based Models for Multivariate Discrete Response Data, A copula-based model of speculative price dynamics in discrete time, Pair-copula constructions of multiple dependence, Selecting and estimating regular vine copulae and application to financial returns, Robust factor number specification for large-dimensional elliptical factor model, Local dependence functions for some families of bivariate distributions and total positivity, Meta densities and the shape of their sample clouds, Stochastic ordering of bivariate elliptical distributions, A new family of multivariate heavy-tailed distributions with variable marginal amounts of tailweight: application to robust clustering, Canonical correlation analysis for elliptical copulas, Robust feature screening for elliptical copula regression model, pyvine: the Python package for regular vine copula modeling, sampling and testing, Identifiability and estimation of meta-elliptical copula generators, Some extremal type elliptical distributions, Goodness-of-fit tests for copulas: A review and a power study, A method of moments estimator of tail dependence, Implicit copulas from Bayesian regularized regression smoothers, Elliptical families and copulas: tilting and premium; capital allocation, Nonparametric inference on multivariate versions of Blomqvist's beta and related measures of tail dependence, Unnamed Item, Gaussian copula distributions for mixed data, with application in discrimination, A goodness of fit test for copulas based on Rosenblatt's transformation, Testing symmetry around a subspace, Some necessary uniform tests for spherical symmetry, Sequential Monte Carlo samplers with independent Markov chain Monte Carlo proposals, A Compendium of Copulas, On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence, Meta-elliptical copulas for drought frequency analysis of periodic hydrologic data, Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index, Quantile-based estimative VaR forecast and dependence measure: a simulation approach, Generalized diagonal band copulas, The t Copula and Related Copulas, Bayesian semiparametric copula estimation with application to psychiatric genetics, Forecasting time series with multivariate copulas, Bayesian meta-elliptical multivariate regression models with fixed marginals on unit intervals, Testing multivariate uniformity and its applications

Cites Work