scientific article; zbMATH DE number 6193514

zbMath1268.62050arXivmath/0611166MaRDI QIDQ5326859

Victor H. de la Peña, Shaturgun Sharakhmetov, Rustam Ibragimov

Publication date: 31 July 2013

Full work available at URL: https://arxiv.org/abs/math/0611166

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zbMATH Keywords

convergencerelative entropyHellinger distancedivergence measuresPearson coefficientKullback-Leibler and Shannon mutual information

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of information, entropy (94A17)

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Heavy tails and copulas: limits of diversification revisited ⋮ Modeling dependence via copula of functionals of Fourier coefficients ⋮ Unnamed Item ⋮ Parameterized transformations and truncation: when is the result a copula? ⋮ A class of bivariate independence copula transformations ⋮ Bounds for path-dependent options ⋮ Bivariate copulas generated by perturbations ⋮ Joint characteristic functions construction via copulas ⋮ Goodness-of-fit test of copula functions for semi-parametric univariate time series models ⋮ Efficient estimation of copula-based semiparametric Markov models

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