Extraction dependence structure of distorted copulas via a measure of dependence

DOI10.1007/S10479-017-2487-2zbMath1384.62183OpenAlexW2603928204MaRDI QIDQ1699141

Sel Ly, Uyen Hoang Pham, Hien Duy Tran, T. Vo-Duy

Publication date: 16 February 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-017-2487-2

zbMATH Keywords

copulasSobolev normcomonotonicitymeasures of dependencecountermonotonicitydistortion functionsmonotone dependence

Mathematics Subject Classification ID

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

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Uses Software

• copula
• copula

Cites Work

• An introduction to copulas.
• On nonparametric measures of dependence for random variables
• Copulas and Markov processes
• Monotone dependence
• Copula and semicopula transforms
• The Bivariate Normal Copula
• Distorted Copulas: Constructions and Tail Dependence

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