Results 11 to 20 of about 25,862 (264)
Communications in Statistics - Theory and Methods, 2008 We present a new way of constructing bivariate copulas, by recalling and gluing two (or more) copulas. Examples illustrate how this construction can be applied to build complicated copulas from simple ones. --
Siburg, Karl Friedrich +1 more
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Journal of Multivariate Analysis, 2013 23 pages, 3 ...
Marius Hofert, Frederic Vrins
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Multivariate copulas, quasi-copulas and lattices [PDF]
Statistics & Probability Letters, 2011 We investigate some properties of the partially ordered sets of multivariate copulas and quasi-copulas. Whereas the set of bivariate quasi-copulas is a complete lattice, which is order-isomorphic to the Dedekind-MacNeille completion of the set of bivariate copulas, we show that this is not the case in higher dimensions.
Fernández-Sánchez, Juan +2 more
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SSRN Electronic Journal, 2012 We introduce the notion of realized copula. Based on assumptions of the marginal distributions of daily stock returns and a copula family, realized copula is defined as the copula structure materialized in realized covariance estimated from within-day high-frequency data.
Matthias R. Fengler, Ostap Okhrin
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Is a Normal Copula the Right Copula? [PDF]
Journal of Business & Economic Statistics, 2018 We derive computationally simple and intuitive expressions for score tests of Gaussian copulas against Generalized Hyperbolic alternatives, including symmetric and asymmetric Student t, and many other examples. We decompose our tests into third and fourth moment components, and obtain one-sided Likelihood Ratio analogues, whose standard asymptotic ...
Amengual, Dante, Sentana, Enrique
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The t Copula and Related Copulas
International Statistical Review, 2007 Summary: The \(t\) copula and its properties are described with a focus on issues related to the dependence of extreme values. The Gaussian mixture representation of a multivariate \(t\) distribution is used as a starting point to construct two new copulas, the skewed \(t\) copula and the grouped \(t\) copula, which allow more heterogeneity in the ...
Demarta, Stefano, Mcneil, Alexander J.
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Electronic Journal of Statistics, 2014 We propose notions of calibration for probabilistic forecasts of general multivariate quantities. Probabilistic copula calibration is a natural analogue of probabilistic calibration in the univariate setting. It can be assessed empirically by checking for the uniformity of the copula probability integral transform (CopPIT), which is invariant under ...
Johanna F. Ziegel, Tilmann Gneiting
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A Note on Upper Tail Behavior of Liouville Copulas
Risks, 2016 The family of Liouville copulas is defined as the survival copulas of multivariate Liouville distributions, and it covers the Archimedean copulas constructed by Williamson’s d-transform.
Lei Hua
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Baire category results for quasi–copulas
Dependence Modeling, 2016 The aim of this manuscript is to determine the relative size of several functions (copulas, quasi– copulas) that are commonly used in stochastic modeling.
Durante Fabrizio +2 more
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, 2009 Being the limits of copulas of componentwise maxima in independent random samples, extreme-value copulas can be considered to provide appropriate models for the dependence structure between rare events.
Gudendorf, Gordon, Segers, Johan
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