Copula-based regression models: a survey

DOI10.1016/j.jspi.2009.05.023zbMath1169.62328OpenAlexW2046095281MaRDI QIDQ840744

Nikolai Kolev, Delhi Paiva

Publication date: 14 September 2009

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2009.05.023

zbMATH Keywords

estimationlongitudinal datatime series analysisunobserved heterogeneityGaussian copulaFrank copulacopula theoryinsurance datasemiparametric specificationstransition models

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Uses Software

• CAViaR
• QRM

Cites Work

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• Generalized Autoregressive Moving Average Models
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• A GENERAL METHOD TO ESTIMATE CORRELATED DISCRETE RANDOM VARIABLES
• Multivariate Dispersion Models Generated From Gaussian Copula
• A Primer on Copulas for Count Data
• Credibility Using Copulas

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