Copula Structure Analysis

DOI10.1111/j.1467-9868.2009.00707.xzbMath1250.62031OpenAlexW2030696482MaRDI QIDQ2920266

Claudia Klüppelberg, Gabriel Kuhn

Publication date: 25 October 2012

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9868.2009.00707.x

zbMATH Keywords

dimension reductionfactor analysiscovariance structure analysisKendall's \(\tau\)elliptical copulascorrelation structure analysis

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items

Adaptive estimation of the copula correlation matrix for semiparametric elliptical copulas, ESTIMATORS BASED ON KENDALL'S TAU IN MULTIVARIATE COPULA MODELS, A flexible and tractable class of one-factor copulas, Two bootstrap strategies for a \(k\)-problem up to location-scale with dependent samples, Factor copula models for multivariate data, Tail dependence for regularly varying time series, A semiparametric approach to mixed outcome latent variable models: estimating the association between cognition and regional brain volumes, An extreme-value approach for testing the equality of large U-statistic based correlation matrices, Robust factor number specification for large-dimensional elliptical factor model, Canonical correlation analysis for elliptical copulas, Weighted least-squares inference for multivariate copulas based on dependence coefficients, Testing symmetry around a subspace

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