Copulas: A Review and Recent Developments

DOI10.1080/15326340600878206zbMath1120.60006OpenAlexW2074511911MaRDI QIDQ3424143

Ulisses U. dos Anjos, Nikolai Kolev, Beatriz Vaz de Melo Mendes

Publication date: 15 February 2007

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326340600878206

zbMATH Keywords

simulationdependence measuresquasi-copulasquantile risk measuresmultivariate marginalslocal dependenceKendall distributioncopula theorysurvival copulascopula representationlife modellingnormal asymptoticorder statistics copulapseudo-conditional copulas

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32) Probability distributions: general theory (60E05)

Related Items (20)

Construction of asymmetric copulas and its application in two-dimensional reliability modelling ⋮ Copula-based regression models: a survey ⋮ Bayesian Nonparametric Modeling of Conditional Multidimensional Dependence Structures ⋮ Copula density estimation by total variation penalized likelihood with linear equality constraints ⋮ A generalized beta copula with applications in modeling multivariate long-tailed data ⋮ Time-dependent copulas ⋮ The BALM copula ⋮ Forecasting Surrender Rates Using Elliptical Copulas and Financial Variables ⋮ Statistical models and methods for dependence in insurance data ⋮ Some properties of bivariate Schur-constant distributions ⋮ Penalized marginal likelihood estimation of finite mixtures of Archimedean copulas ⋮ Correlation between graphs with an application to brain network analysis ⋮ ON SOME PROPERTIES OF TWO VECTOR-VALUED VAR AND CTE MULTIVARIATE RISK MEASURES FOR ARCHIMEDEAN COPULAS ⋮ Bayesian nonparametric estimation of a copula ⋮ Quantile Association Regression Models ⋮ A Compendium of Copulas ⋮ A local agreement pattern measure based on hazard functions for survival outcomes ⋮ A new family of Archimedean copulas: the truncated-Poisson family of copulas ⋮ Flexible Copula Density Estimation with Penalized Hierarchical B-splines ⋮ Flexible pair-copula estimation in D-vines using bivariate penalized splines

Uses Software

• Linkages
• ismev

Cites Work

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