Dependence measures for perturbations of copulas

DOI10.1016/j.fss.2017.01.014zbMath1384.62169OpenAlexW2583390502MaRDI QIDQ1697565

Jana Kalická, Jozef Komorník, Magda Komorníková

Publication date: 20 February 2018

Published in: Fuzzy Sets and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.fss.2017.01.014

zbMATH Keywords

copulacensoringdependence measurestail dependenceinsurance dataperturbation of copula

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Censored data models (62N01) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (7)

Perturbations of copulas and mixing properties ⋮ Some new measures of dependence for random variables based on Spearman's ρ and Kendall's τ ⋮ A new method to construct high-dimensional copulas with Bernoulli and Coxian-2 distributions ⋮ Dependence and mixing for perturbations of copula-based Markov chains ⋮ Polynomial bivariate copulas of degree five: characterization and some particular inequalities ⋮ The impact on the properties of the EFGM copulas when extending this family ⋮ New results on perturbation-based copulas

Uses Software

• copula
• copula

Cites Work

• Perturbation of bivariate copulas
• Nonparametric inference on multivariate versions of Blomqvist's beta and related measures of tail dependence
• An introduction to copulas.
• Flipping and cyclic shifting of binary aggregation functions
• Bivariate copulas generated by perturbations
• Multivariate versions of Blomqvist's beta and Spearman's footrule
• On a Measure of Dependence Between two Random Variables
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