Copulas checker-type approximations: Application to quantiles estimation of sums of dependent random variables

DOI10.1080/03610926.2019.1586936OpenAlexW2922192865WikidataQ128224774 ScholiaQ128224774MaRDI QIDQ5077243

Véronique Maume-Deschamps, A. Cuberos, Esterina Masiello

Publication date: 18 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1586936

zbMATH Keywords

quantile estimationrisk aggregationcheckerboard copulaempirical copulascheckmin copula

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (5)

Distributions associated to the counting techniques of the d-sample copula of order m and weak convergence of the sample process ⋮ Estimating checkerboard approximations with sample d-copulas ⋮ Extreme quantile regression for tail single-index varying-coefficient models ⋮ A characterization of multivariate independence using copulas ⋮ Semi-parametric estimation of multivariate extreme expectiles

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