Multivariate dependence concepts through copulas

DOI10.1016/J.IJAR.2015.04.004MaRDI QIDQ897747zbMATH OpenOpenAlexFDO

Authors Zheng Wei, Tonghui Wang, Phuong Anh Nguyen

Publication date 7 December 2015

Published in International Journal of Approximate Reasoning (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ijar.2015.04.004

zbMATH Keywords

copulamultivariate skew normal distributionlinear interpolationpositively quadrant dependentaffiliationaffiliated signals

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20)

Recommendations

• scientific article; zbMATH DE number 4201233
• An introduction to copulas. Properties and applications
• Multivariate copulas with cubic sections in one variable
• Directional dependence of random vectors
• An introduction to copulas.

Cites work

• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 3712886 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• scientific article; zbMATH DE number 1484400 (Why is no real title available?)
• A Theory of Auctions and Competitive Bidding
• An introduction to copulas.
• Classes of orderings of measures and related correlation inequalities. I. Multivariate totally positive distributions
• Distribution of quadratic forms under skew normal settings
• First price auctions: monotonicity and uniqueness
• First-price auctions without affiliation
• On measures of association as measures of positive dependence
• Statistical Applications of the Multivariate Skew Normal Distribution
• The Affiliation Effect in First-Price Auctions
• The multivariate skew-normal distribution
• Total positivity order and the normal distribution

Cited in

(9)

• scientific article; zbMATH DE number 7088128 (Why is no real title available?)
• The essential dependence for a group of random vectors
• On positive association of absolute-valued and squared multivariate gaussians beyond \(\mathrm{MTP}_2\)
• scientific article; zbMATH DE number 6467841 (Why is no real title available?)
• Modeling Dependencies with Copulae
• Dependency in multisensory integration: a copula-based analysis
• Conditional dependence among oil, gold and U.S. dollar exchange rates: a copula-GARCH approach
• Multivariate measures of concordance for copulas and their marginals
• Asymmetric dependence in the stochastic frontier model using skew normal copula

This page was built for publication: Multivariate dependence concepts through copulas

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q897747)