Exchangeable FGM copulas

DOI10.1017/apr.2023.19arXiv2205.11302MaRDI QIDQ6119932

Hélène Cossette, Étienne Marceau, Christopher Blier-Wong

Publication date: 20 February 2024

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2205.11302

zbMATH Keywords

copulasextreme pointsexchangeabilitystochastic representation

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Litter-Based Approach to Risk Assessment in Developmental Toxicity Studies via a Power Family of Completely Monotone Functions
• The empirical beta copula
• Stochastic orders
• Comparison results for exchangeable credit risk portfolios
• Random sums of exchangeable variables and actuarial applications
• Some properties and generalizations of multivariate Eyraud-Gumbel- Morgenstern distributions
• Supermodular stochastic orders and positive dependence of random vectors
• Comparison of portfolios which depend on multivariate Bernoulli random variables with fixed marginals.
• Some remarks on the supermodular order
• Supermodular dependence ordering on a class of multivariate copulas
• Remarks on equality of two distributions under some partial orders
• Detection of block-exchangeable structure in large-scale correlation matrices
• A note on comparisons among coherent systems with dependent components using signatures
• Extremal dependence concepts
• Theory of statistics
• Order relations for some distributions
• Effective estimation algorithm for parameters of multivariate Farlie-Gumbel-Morgenstern copula
• Stochastic representation of FGM copulas using multivariate Bernoulli random variables
• The infinite extendibility problem for exchangeable real-valued random vectors
• Ordering results for elliptical distributions with applications to risk bounds
• Moment spaces and inequalities
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Bivariate Exponential Distributions
• The performance of some correlation coefficients for a general bivariate distribution
• On some generalized farlie-gumbel-morgenstern distributions
• Generalized binomial distributions
• THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
• A Full Likelihood Procedure for Analysing Exchangable Binary Data
• On exchangeable multinomial distributions
• COMPARISON OF DEPENDENCE IN FACTOR MODELS WITH APPLICATION TO CREDIT RISK PORTFOLIOS
• Convex Analysis
• Univariate Discrete Distributions
• Inequalities: theory of majorization and its applications
• Model risk in credit risk

This page was built for publication: Exchangeable FGM copulas