Tail-weighted measures of dependence
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Publication:5130181
DOI10.1080/02664763.2014.980787OpenAlexW2033975606MaRDI QIDQ5130181
Publication date: 4 November 2020
Published in: Journal of Applied Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02664763.2014.980787
Related Items (12)
Approximate likelihood with proxy variables for parameter estimation in high-dimensional factor copula models ⋮ Copula diagnostics for asymmetries and conditional dependence ⋮ Variational inference for high dimensional structured factor copulas ⋮ A new class of copula regression models for modelling multivariate heavy-tailed data ⋮ Copula-based measures of reflection and permutation asymmetry and statistical tests ⋮ Extreme-value limit of the convolution of exponential and multivariate normal distributions: link to the Hüsler-Reiß distribution ⋮ Nonparametric predictive inference for stock returns ⋮ Tail-weighted dependence measures with limit being the tail dependence coefficient ⋮ A copula model for non-Gaussian multivariate spatial data ⋮ New measure of the bivariate asymmetry ⋮ Factor Copula Models for Replicated Spatial Data ⋮ Copula-based measures of asymmetry between the lower and upper tail probabilities
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