An introduction to copulas.
Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Probability distributions: general theory (60E05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20)
[For the review of the first edition from 1999 see Zbl 0909.62052.] Copulas (or copulae) are functions that join multivariate distribution functions to their one-dimensional margins. Since this notion is scale invariant, it captures scale invariant dependence properties of distributions. On the other side copulas proved to be a are very useful tool in multivariate modelling when the marginal one-dimensional distributions are already known. Therefore the study of copulas and their role in statistics is a vigorously growing field. The book begins with the basic properties of copulas and then proceeds to present methods for constructing copulas and to discuss the role played by copulas in modeling and study of dependence. The focus is on bivariate copulas, although most chapters conclude with a discussion of the general multivariate case. This introductory and informative text on copulas is clearly written and from an educational standpoint well presented. With more than hundred examples and over 160 exercises, this book is suitable as a textbook or for self-study. The only prerequisite is an upper level undergraduate course in probability and mathematical statistics. The second edition maintains the basic organization of the material and the general level of presentation as the first one from 1999. The major additions are sections on: copula transformation methods; extreme value copulas; copulas with specific analytic or functional properties; tail dependence and quasi-copulas. Some exercises and examples were also added and about 30 new entries referred to in the text were inserted in the bibliography.
- It was 30 years ago today when Laurens de Haan went the multivariate way
- Convex geometry of max-stable distributions
- Approximation of the tail probability of randomly weighted sums and applications
- Contracts with endogenous information
- On representations of 2-increasing binary aggregation functions
- Tests of independence among continuous random vectors based on Cramér-von Mises functionals of the empirical copula process
- Worst VaR scenarios: A remark
- Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
- Estimating copula densities through wavelets
- On the discrete-time compound renewal risk model with dependence
- Shuffles of copulas
- Comparison of semiparametric and parametric methods for estimating copulas
- A goodness of fit test for copulas based on Rosenblatt's transformation
- Decomposition of a Schur-constant model and its applications
- Copula model evaluation based on parametric bootstrap
- A concept of duality for multivariate exchangeable survival models
- On a class of transformations of copulas and quasi-copulas
- Some new characterizations and properties of quasi-copulas
- On an idempotent transformation of aggregation functions and its application on absolutely continuous Archimedean copulas
- Flipping and cyclic shifting of binary aggregation functions
- The dominance relation in some families of continuous Archimedean t-norms and copulas
- Polynomial chaos representation of spatio-temporal random fields from experimental measurements
- Improving efficient marginal estimators in bivariate models with parametric marginals
- Asymptotic properties of the Bernstein density copula estimator for \(\alpha \)-mixing data
- Bounds for the sum of dependent risks having overlapping marginals
- Multivariate comonotonicity
- Supplier default dependencies: empirical evidence from the automotive industry
- Efficient estimation of copula-based semiparametric Markov models
- Top-down approaches for integrated risk management: how accurate are they?
- The first passage event for sums of dependent Lévy processes with applications to insurance risk
- Concentration of measure and spectra of random matrices: applications to correlation matrices, elliptical distributions and beyond
- A goodness-of-fit test for Archimedean copula models in the presence of right censoring
- Partially monotone tensor spline estimation of the joint distribution function with bivariate current status data
- An introduction to copulas. Properties and applications
- Goodness-of-fit test for specification of semiparametric copula dependence models
- Goodness-of-fit tests for copulas: A review and a power study
- A nonparametric method for producing isolines of bivariate exceedance probabilities
- On non-central squared copulas
- Copula-based dependence measures
- Likelihood-based inference for bivariate latent failure time models with competing risks under the generalized FGM copula
- Bivariate dependence measures and bivariate competing risks models under the generalized FGM copula
- Semi-parametric copula-based models under non-stationarity
- Distribution functions of multivariate copulas.
- An algorithm for estimating survival under a copula-based dependent truncation model
- Parametric likelihood inference and goodness-of-fit for dependently left-truncated data, a copula-based approach
- Clustering dependent observations with copula functions
- On the robustness of portfolio allocation under copula misspecification
- Characterizations of bivariate conic, extreme value, and Archimax copulas
- VaR bounds in models with partial dependence information on subgroups
- Kendall's tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas
- My introduction to copulas. An interview with Roger Nelsen
- Inference for copula modeling of discrete data: a cautionary tale and some facts
- On truncation invariant copulas and their estimation
- Modelling bivariate lifetime data using copula
- Geometry of the \(q\)-exponential distribution with dependent competing risks and accelerated life testing
- Change point detection in SCOMDY models
- Uncertainty quantification for the family-wise error rate in multivariate copula models
- Multinomial choice models based on Archimedean copulas
- Estimation of risk measures in energy portfolios using modern copula techniques
- Vine-copula GARCH model with dynamic conditional dependence
- A fluctuation test for constant Spearman's rho with nuisance-free limit distribution
- Multivariate distributions with proportional reversed hazard marginals
- Shannon entropy reinterpreted
- Robust optimization of mixed CVaR STARR ratio using copulas
- Bayesian model selection of regular vine copulas
- Supermigrative copulas and positive dependence
- Copula-based measurement of interdependence for discrete distributions
- De copulis non est disputandum. Copulae: an overview
- Preservation of increasing convex/concave order under the formation of parallel/series system of dependent components
- Uniform in bandwidth consistency of nonparametric regression based on copula representation
- Optimal insurance design under background risk with dependence
- Bayesian bivariate survival analysis using the power variance function copula
- Parameter estimation of bivariate distributions in presence of outliers: an application to FGM copula
- An extension of Kemperman's characterization on k-independence and its application
- Extreme value modelling of water-related insurance claims
- CMPH: a multivariate phase-type aggregate loss distribution
- A simple non-parametric goodness-of-fit test for elliptical copulas
- Dependent defaults and losses with factor copula models
- Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family
- Maximum asymmetry of copulas revisited
- Degradation data analysis and remaining useful life estimation: a review on Wiener-process-based methods
- Some copula inference procedures adapted to the presence of ties
- Bivariate copula additive models for location, scale and shape
- Sieve maximum likelihood estimation for the proportional hazards model under informative censoring
- Nonlinear filtering with correlated Lévy noise characterized by copulas
- A new approach to risk-return trade-off dynamics via decomposition
- A family of block-wise one-factor distributions for modeling high-dimensional binary data
- Copula in a multivariate mixed discrete-continuous model
- Cox regression analysis of dependent interval-censored failure time data
- Structure learning in Bayesian networks using regular vines
- Managing risk with a realized copula parameter
- EM algorithms for estimating the Bernstein copula
- Inference for asymptotically independent samples of extremes
- Hierarchical Archimax copulas
- On the length of copula level curves
- Vine copula based likelihood estimation of dependence patterns in multivariate event time data
- Semiparametric regression analysis of clustered survival data with semi-competing risks
- Copula based generalized additive models for location, scale and shape with non-random sample selection
- Comorbidity of chronic diseases in the elderly: patterns identified by a copula design for mixed responses
- Probabilistic slope stability analysis by a copula-based sampling method
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