Modelling dependence

DOI10.1016/j.insmatheco.2007.01.008zbMath1142.62034OpenAlexW4252780388MaRDI QIDQ939341

Wilbert C. M. Kallenberg

Publication date: 22 August 2008

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.01.008

zbMATH Keywords

copulaexponential familyLegendre polynomialscontamination familynonlinear correlation

Mathematics Subject Classification ID

Related Items (7)

Confidence band for expectation dependence with applications ⋮ Modeling dependence based on mixture copulas and its application in risk management ⋮ Some generalizations concerning inaccuracy measures ⋮ Estimating copula densities, using model selection techniques ⋮ Discussion about inaccuracy measure in information theory using co-copula and copula dual functions ⋮ Multivariate density estimation using dimension reducing information and tail flattening trans\-formations ⋮ A diagnostic test for specification of copulas under censorship

Uses Software

• QRM

Cites Work

• Goodness-of-fit tests for copulas
• An introduction to copulas.
• Detecting positive quadrant dependence and positive function dependence
• Approximation of density functions by sequences of exponential families
• A class of symmetric bivariate uniform distributions
• A note on minimum distance estimation of copula densities
• Density estimation via exponential model selection
• Bivariate extreme value theory: Models and estimation
• Test Statistics Derived as Components of Pearson's Phi-Squared Distance Measure
• An asymptotic property of model selection criteria
• Data-Driven Rank Tests for Independence
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