Stochastic dependence modelling using conditional elliptical processes

DOI10.5539/JMR.V4N6P130MaRDI QIDQ2965244zbMATH OpenOpenAlexFDO

Authors Diakarya Barro, Simplice Dossou-Gbété, Saliou Diouf

Publication date 2 March 2017

Published in Journal of Mathematics Research (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.5539/jmr.v4n6p130

Mathematics Subject Classification ID

Gaussian processes (60G15) Statistics of extreme values; tail inference (62G32) Measures of association (correlation, canonical correlation, etc.) (62H20) Spatial models in economics (91B72)

Recommendations

• Dependence structure of conditional Archimedean copulas
• Spatial characterization of stochastic dependence using copulas
• Gaussian approximation of conditional elliptical copulas
• Copula structure analysis based on extreme dependence
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Cited in

(4)

• Slepian models for X²-processes with dependent components with application to envelope upcrossings
• Gaussian approximation of conditional elliptical copulas
• Spatial characterization of stochastic dependence using copulas
• Practical notes on multivariate modeling based on elliptical copulas

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