On copulas and their diagonals
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Publication:730890
DOI10.1016/j.ins.2008.09.006zbMath1171.62332OpenAlexW2042579128MaRDI QIDQ730890
Publication date: 1 October 2009
Published in: Information Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ins.2008.09.006
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Order statistics; empirical distribution functions (62G30)
Related Items (35)
Diagonal plane sections of trivariate copulas ⋮ Maximal non-exchangeability in dimension \(d\) ⋮ Characterizations of Archimedean n-copulas ⋮ Multivariate Bertino copulas ⋮ Unnamed Item ⋮ Characterization of copulas with given diagonal and opposite diagonal sections ⋮ The topological structures of the spaces of diagonal and opposite diagonal functions with the uniform metric ⋮ On a comparison between Mahalanobis distance and Choquet integral: the Choquet-Mahalanobis operator ⋮ \(d\)-dimensional dependence functions and Archimax copulas ⋮ Absolutely continuous copulas with given sub-diagonal section ⋮ A hitchhiker's guide to quasi-copulas ⋮ Extremal behavior of diagonal and Bertino copulas ⋮ Zero-linear copulas ⋮ ON THE CLASSES OF COPULAS AND QUASI-COPULAS WITH A GIVEN DIAGONAL SECTION ⋮ On the estimation of Pareto fronts from the point of view of copula theory ⋮ The distribution of the probability mass of biconic copulas ⋮ Constructions of copulas with given diagonal (and opposite diagonal) sections and some generalizations ⋮ A probabilistic view on semilinear copulas ⋮ Copulas, diagonals, and tail dependence ⋮ Multivariate copulas with hairpin support ⋮ Copulas with maximum entropy ⋮ On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators ⋮ Directional dependence of random vectors ⋮ On the relationships between copulas of order statistics and marginal distributions ⋮ Unnamed Item ⋮ Multivariate upper semilinear copulas ⋮ New constructions of diagonal patchwork copulas ⋮ Extremal Lipschitz continuous aggregation functions with a given diagonal section ⋮ Some members of the class of (quasi-)copulas with given diagonal from the Markov kernel perspective ⋮ Unnamed Item ⋮ Generating unfavourable VaR scenarios under Solvency II with patchwork copulas ⋮ Diagonal sections of copulas, multivariate conditional hazard rates and distributions of order statistics for minimally stable lifetimes ⋮ Comparisons of series and parallel systems with components sharing the same copula ⋮ Maximum entropy copula with given diagonal section ⋮ Frank's condition for multivariate Archimedean copulas
Cites Work
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- An introduction to copulas.
- Modelling total tail dependence along diagonals
- On the construction of copulas and quasi-copulas with given diagonal sections
- Distributions and expectations of order statistics for possibly dependent random variables
- On a family of copulas constructed from the diagonal section
- On uniform tail expansions of multivariate copulas and wide convergence of measures
- COPULAS WITH GIVEN DIAGONAL SECTIONS: NOVEL CONSTRUCTIONS AND APPLICATIONS
- Bounds for expectation of l-estimates for dependent samples
- Absolutely Continuous Copulas with Given Diagonal Sections
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