CopulaModel

swMATH40091MaRDI QIDQ55791FDOQ55791

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Described by source

• Dependence Modeling with Copulas

Cited In (only showing first 100 items - show all)

• Relative ageing of series and parallel systems: effects of dependence and heterogeneity among components
• Multiple inflated negative binomial regression for correlated multivariate count data
• Quasi-random numbers for copula models
• Subsampling MCMC -- an introduction for the survey statistician
• A bivariate failure time model with random shocks and mixed effects
• Copula-based measures of asymmetry between the lower and upper tail probabilities
• Selection of mixed copula for association modeling with tied observations
• Non-exchangeability of copulas arising from shock models
• Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition
• Introduction to extreme value theory: applications to risk analysis and management
• Modelling count data via copulas
• Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts
• Stochastic species abundance models involving special copulas
• Selection of sparse vine copulas in high dimensions with the Lasso
• Shock models with dependence and asymmetric linkages
• Efron's monotonicity property for measures on \(\mathbb{R}^2\)
• Ruin probability for the bi-seasonal discrete time risk model with dependent claims
• Stationary distributions for two-dimensional sticky Brownian motions: exact tail asymptotics and extreme value distributions
• A Distributed and Integrated Method of Moments for High-Dimensional Correlated Data Analysis
• Reflected maxmin copulas and modeling quadrant subindependence
• Title not available (Why is that?)
• Asymmetric Copulas and Their Application in Design of Experiments
• Multivariate distributions of correlated binary variables generated by pair-copulas
• Maximum likelihood estimation of skew-t copulas with its applications to stock returns
• A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
• Diagonal plane sections of trivariate copulas
• Dependence structure estimation using copula recursive trees
• Title not available (Why is that?)
• Estimation of bivariate probability distributions of nanoparticle characteristics, based on univariate measurements
• Copula-based Markov zero-inflated count time series models with application
• Constructing copulas from shock models with imprecise distributions
• Tail-weighted dependence measures with limit being the tail dependence coefficient
• Inducing a desired value of correlation between two point-scale variables: a two-step procedure using copulas
• On the size of the class of bivariate extreme-value copulas with a fixed value of Spearman's rho or Kendall's tau
• Copula-based measures of reflection and permutation asymmetry and statistical tests
• Extreme-value limit of the convolution of exponential and multivariate normal distributions: link to the Hüsler-Reiß distribution
• Truncation of vine copulas using fit indices
• On the quantification and efficient propagation of imprecise probabilities with copula dependence
• Testing for changes in the tail behavior of Brown-Resnick Pareto processes
• Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation
• On multivariate asymmetric dependence using multivariate skew-normal copula-based regression
• On identification and non-normal simulation in ordinal covariance and item response models
• Sample selection models with monotone control functions
• A semiparametric and location-shift copula-based mixture model
• \(D_s\)-optimality in copula models
• Vine copulas for mixed data: multi-view clustering for mixed data beyond meta-Gaussian dependencies
• Baire category results for stochastic orders
• Parameter estimation for multi-state coherent series and parallel systems with positively quadrant dependent models
• Relative variation indexes for multivariate continuous distributions on \([0,\infty)^k\) and extensions
• Total positivity of copulas from a Markov kernel perspective
• Copula Regression for Compound Distributions with Endogenous Covariates with Applications in Insurance Deductible Pricing
• Sequential truncation of \(R\)-vine copula mixture model for high-dimensional datasets
• A mixture of regular vines for multiple dependencies
• Local Likelihood Estimation of Complex Tail Dependence Structures, Applied to U.S. Precipitation Extremes
• Prediction based on conditional distributions of vine copulas
• Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
• Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation
• Variational inference for high dimensional structured factor copulas
• Singular components of shock model copulas
• Multivariate models for dependent clusters of variables with conditional independence given aggregation variables
• Model distances for vine copulas in high dimensions
• Limitations and performance of three approaches to Bayesian inference for Gaussian copula regression models of discrete data
• Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
• Copula density estimation by finite mixture of parametric copula densities
• Title not available (Why is that?)
• On truncation invariant copulas and their estimation
• Copula theory and probabilistic sensitivity analysis: is there a connection?
• Tail densities of skew-elliptical distributions
• Distortion representations of multivariate distributions
• Vine copula regression for observational studies
• Model selection for discrete regular vine copulas
• On a bivariate copula with both upper and lower full-range tail dependence
• Vine copula approximation: a generic method for coping with conditional dependence
• Multivariate geometric expectiles
• Copula directional dependence of discrete time series marginals
• MULTIVARIATE COMPOSITE COPULAS
• Model selection in sparse high-dimensional vine copula models with an application to portfolio risk
• Copula-based measurement of interdependence for discrete distributions
• Estimating the Probability that a Function Observed with Noise Is Convex
• Asymptotics for ultimate ruin probability in a by-claim risk model
• Nonparametric C- and D-vine-based quantile regression
• Effective estimation algorithm for parameters of multivariate Farlie-Gumbel-Morgenstern copula
• Modeling multivariate cybersecurity risks
• A Bayesian hierarchical copula model
• Sampling, conditionalizing, counting, merging, searching regular vines
• On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions
• On the diversity score: a copula approach
• On the asymptotic covariance of the multivariate empirical copula process
• A dependent frequency-severity approach to modeling longitudinal insurance claims
• On multivariate countermonotonic copulas and their actuarial application
• Multivariate extreme value copulas with factor and tree dependence structures
• Dependence modeling of frequency-severity of insurance claims using waiting time
• Expert judgement for dependence in probabilistic modelling: a systematic literature review and future research directions
• Factor Copula Approaches for Assessing Spatially Dependent High-Dimensional Risks
• Collective risk models with dependence
• Weighted scores estimating equations and CL1 information criteria for longitudinal ordinal response
• Zero-inflated count time series models using Gaussian copula
• Marshall-Olkin type copulas generated by a global shock
• Comparison of non-nested models under a general measure of distance
• A new class of copula regression models for modelling multivariate heavy-tailed data

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