An introduction to copulas.
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Publication:820222
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)
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- 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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