A method for constructing asymmetric pair-copula and its application

DOI10.1080/03610926.2017.1371755OpenAlexW2762057696MaRDI QIDQ5154070

Dingfang Li, Lihua Xiong, Yifan Li, Yifan Gui

Publication date: 1 October 2021

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

Full work available at URL: https://doi.org/10.1080/03610926.2017.1371755

zbMATH Keywords

copulacorrelation coefficientconstruction methodasymmetric pair-copula

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Uses Software

• copula
• CDVine
• copula

Cites Work

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• Pair-copula constructions of multiple dependence
• An introduction to copulas.
• A characterization of Gumbel's family of extreme value distributions
• Construction of asymmetric multivariate copulas
• A goodness of fit test for copulas based on Rosenblatt's transformation
• Vines -- a new graphical model for dependent random variables.
• Probability density decomposition for conditionally dependent random variables modeled by vines
• Asymptotic efficiency of the two-stage estimation method for copula-based models
• Spearman's ρ is larger than kendall's τ for positively dependent random variables
• New Families of Copulas Based on Periodic Functions

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