The new family of Fisher copulas to model upper tail dependence and radial asymmetry: properties and application to high-dimensional rainfall data

DOI10.1002/env.2494zbMATH Open1545.62762MaRDI QIDQ6625903

Jean-François Quessy, Anne-Catherine Favre, Marie-Hélène Toupin

Publication date: 28 October 2024

Published in: Environmetrics (Search for Journal in Brave)

zbMATH Keywords

high-dimensional modelspairwise likelihoodsemiparametric inferenceprecipitation data

Mathematics Subject Classification ID

Applications of statistics to environmental and related topics (62P12)

Cites Work

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• Pair-copula constructions of multiple dependence
• Computing the nearest correlation matrix--a problem from finance
• A stochastic space-time model for intermittent precipitation occurrences
• On the family of multivariate chi-square copulas
• An introduction to copulas.
• Dependence Modeling with Copulas
• Simulating Copulas
• Non-parametric Estimation of Tail Dependence
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Spatial modelling framework for the characterisation of rainfall extremes at different durations and under climate change

Related Items (2)

A general construction of multivariate dependence structures with nonmonotone mappings and its applications ⋮ Generalized simulated method-of-moments estimators for multivariate copulas

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