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Shuffle of min’s random variable approximations of bivariate copulas’realization
Copula Shuffle of Min approximation Narrow bounds of copula
2016/1/26
The comonotonicity and countermonotonicity provide intuitive upper and lower depen-dence relationship between random variables. This paper constructs the shuffle of min’s ran-domvariableapproximations...
Shuffle of min’s random variable approximations of bivariate copulas’realization
random variable approximations bivariate copulas realization
2016/1/20
The comonotonicity and countermonotonicity provide intuitive upper and lower depen-dence relationship between random variables. This paper constructs the shuffle of min’s ran-domvariableapproximations...
Jackknife Empirical Likelihood for Parametric Copulas
Copulas Empirical likelihood Interval estimation Jackknife
2016/1/19
For fitting a parametric copula to multivariate data, a popular way is to employ the so-called pseudo maximum likelihood estimation proposed by Genest, Ghoudi and Rivest (1995). Although interval esti...
Approximation of bivariate copulas by patched bivariate Fréchet copulas
Bivariate Fréchet copulas patched bivariate Fréchet copula approximation of bivariate copulas
2016/1/19
Bivariate Fréchet (BF) copulas characterize dependence as a mixture of three simple structures: comonotonicity, in-dependence and countermonotonicity. They are easily interpretable but have limitation...
Vine Constructions of Levy Copulas
Levy Copula Vine Copula Pair Lévy Copula Construction Multivariate Lévy Processes
2012/9/19
Levy copulas are the most natural concept to capture jump dependence in multivariate Levy processes. They translate the intuition and many features of the copula concept into a time series setting. A ...
Estimators for Archimedean copulas in high dimensions: A comparison
Archimedean copulas parameter estimation Kendall’s tau Blomqvist’s beta minimum distance estimators (diagonal/simulated) maximum-likelihood estimation.
2012/9/19
The performance of known and new parametric estimators for Archimedean copulas is investigated, with special focus on large dimensions. In particular,method-of-moments-like estimators based on pairwis...
Nonparametric estimation of multivariate extreme-value copulas
empirical copula extreme-value copula Pickands dependence function
2011/7/19
Extreme-value copulas arise in the asymptotic theory for componentwise maxima of independent random samples. An extreme-value copula is determined by its Pickands dependence function, which is a funct...
Large-sample tests of extreme-value dependence for multivariate copulas
max-stability multiplier central limit theorem pseudo-observations ranks
2011/6/17
Starting from the characterization of extreme-value copulas based on maxstability,
large-sample tests of extreme-value dependence for multivariate copulas
are studied. The two key ingredients of the...
Vine copulas as a mean for the construction of high dimensional probability distribution associated to a Markov Network
Copula decomposition t-cherry junction tree Markov network Cherry-wine probability distribution Graphical models
2011/6/17
Building higher-dimensional copulas is generally recognized as a difficult
problem. Regular-vines using bivariate copulas provide a flexible class of high-dimensional
dependency models. In large dim...
A goodness-of-fit test for bivariate extreme-value copulas
extreme-value copula goodness of fi t parametric bootstrap Pickands dependence function rank-based inference
2011/3/21
It is often reasonable to assume that the dependence structure of a bivariate continuous distribution belongs to the class of extreme-value copulas. The latter are characterized by their Pickands depe...
Multiplier bootstrap of tail copulas - with applications
copulas Multiplier bootstrap of tail applications
2011/3/18
In the problem of estimating the lower and upper tail copula we propose two bootstrap procedures for approximating the distribution of the corresponding empirical tail copulas. The first method ...
Some Properties of Schur-Constant Survival Models and their Copulas
Properties Schur-Constant Survival Models Copulas
2009/9/17
Some Properties of Schur-Constant Survival Models and their Copulas。
On Grade Transformation and its Implications for Copulas
Grade Transformation Implications Copulas
2009/9/17
On Grade Transformation and its Implications for Copulas。
Rank-based inference for bivariate extreme-value copulas
Asymptotic theory copula extreme-value distribution non-parametric estimation Pickands dependence function rank-based inference
2010/4/30
Consider a continuous random pair (X,Y ) whose dependence is
characterized by an extreme-value copula with Pickands dependence
function A. When the marginal distributions of X and Y are known,
seve...