Results 11 to 20 of about 26,128 (276)
Statistica, 2018 Copulas are used to specify dependence between two or more random variables. The last few years have seen a surge of developments of parametric models for copulas.
Saralees Nadarajah +2 more
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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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Journal of Multivariate Analysis, 2013 23 pages, 3 ...
Marius Hofert, Frédéric 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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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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A Functional for Copulas and Quasi-Copulas [PDF]
ISRN Probability and Statistics, 2012 We recall and study some properties of a known functional operating on the set of n-copulas and determine conditions under such functional is well defined on the set of n-quasi-copulas. As a consequence, new families of copulas and quasi-copulas are defined, illustrating our results with several examples.
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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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International Journal of Stochastic Analysis, 2013 The class of probability distributions possessing the almost-lack-of-memory property appeared about 20 years ago. It reasonably took place in research and modeling, due to its suitability to represent uncertainty in periodic random environment. Multivariate version of the almost-lack-of-memory property is less known, but it is not less interesting.
Boyan Dimitrov, Nikolai Kolev
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General Multivariate Dependence using Associated Copulas
Revstat Statistical Journal, 2016 This paper studies the general multivariate dependence and tail dependence of a random vector. We analyse the dependence of variables going up or down, covering the 2 d orthants of dimension d and accounting for non-positive dependence.
Yuri Salazar Flores
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