Shuffle of min's random variable approximations of bivariate copulas' realization

DOI10.1080/03610926.2014.964808MaRDI QIDQ5160178zbMATH OpenOpenAlexFDO

Authors YanTing Zheng, Jianhua Z. Huang, Jingping Yang

Publication date 28 October 2021

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2014.964808

zbMATH Keywords

copulanarrow bounds of copulashuffle of min approximation

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Computational methods for problems pertaining to statistics (62-08) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A new proof of Sklar's theorem
• An introduction to copulas.
• Approximation of bivariate copulas by patched bivariate Fréchet copulas
• Bivariate copula decomposition in terms of comonotonicity, countermonotonicity and indepen\-dence
• Estimating value at risk of portfolio by conditional copula-GARCH method
• From Bernstein polynomials to Bernstein copulas
• scientific article; zbMATH DE number 222634 (Why is no real title available?)
• MAXIMUM AND MINIMUM EXTENSIONS OF FINITE SUBCOPULAS
• Multivariate shuffles and approximation of copulas
• On the approximation of copulas via shuffles of Min
• Shuffles of copulas
• Simulating copulas. Stochastic models, sampling algorithms and applications. With contributions by Claudia Czado, Elke Korn, Ralf Korn and Jakob Stöber
• Some approximations of \(n\)-copulas
• The concept of comonotonicity in actuarial science and finance: theory.
• The safest dependence structure among risks.

Cited in

(5)

• Shuffles of copulas
• Approximation of bivariate copulas by patched bivariate Fréchet copulas
• Extreme generators of shock induced copulas
• Algorithms for finding copulas minimizing convex functions of sums
• Multivariate shuffles and approximation of copulas

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