An Introduction to Copulas

Authors:
Roger B. Nelsen
Affiliations:
-
Venue:
An Introduction to Copulas
Year:
2010

Citing 0
Cited 72

On the covariance between functions

Journal of Multivariate Analysis
Mixture decomposition of distributions by copulas in the symbolic data analysis framework

Discrete Applied Mathematics - Ordinal and symbolic data analysis (OSDA 2000)
Multivariate Dispersion Order And The Notion Of Copula Applied To The Multivariate t-Distribution

Probability in the Engineering and Informational Sciences
The Shape of Neural Dependence

Neural Computation
Some positive dependence stochastic orders

Journal of Multivariate Analysis
Bounds for functions of multivariate risks

Journal of Multivariate Analysis
Comparison of semiparametric and parametric methods for estimating copulas

Computational Statistics & Data Analysis
Sampling algorithms for generating joint uniform distributions using the vine-copula method

Computational Statistics & Data Analysis
Quantile curves and dependence structure for bivariate distributions

Computational Statistics & Data Analysis
On a family of multivariate copulas for aggregation processes

Information Sciences: an International Journal
Copula model evaluation based on parametric bootstrap

Computational Statistics & Data Analysis
Bivariate Student t distributions with variable marginal degrees of freedom and independence

Journal of Multivariate Analysis
On the compositional characterization of complete fuzzy pre-orders

Fuzzy Sets and Systems
Kendall distribution functions and associative copulas

Fuzzy Sets and Systems
Some new characterizations and properties of quasi-copulas

Fuzzy Sets and Systems
On an idempotent transformation of aggregation functions and its application on absolutely continuous Archimedean copulas

Fuzzy Sets and Systems
Flipping and cyclic shifting of binary aggregation functions

Fuzzy Sets and Systems
On special fuzzy implications

Fuzzy Sets and Systems
Multivariate distribution models with generalized hyperbolic margins

Computational Statistics & Data Analysis
Multivariate distributions with correlation matrices for nonlinear repeated measurements

Computational Statistics & Data Analysis
Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market

Computational Statistics & Data Analysis
Bayesian copula selection

Computational Statistics & Data Analysis
On the α-migrativity of semicopulas, quasi-copulas, and copulas

Information Sciences: an International Journal
Efficient estimation of a semiparametric dynamic copula model

Computational Statistics & Data Analysis
Time-varying joint distribution through copulas

Computational Statistics & Data Analysis
Public news announcements and quoting activity in the Euro/Dollar foreign exchange market

Computational Statistics & Data Analysis
Link between copula and tomography

Pattern Recognition Letters
Efficiently sampling nested Archimedean copulas

Computational Statistics & Data Analysis
Original paper: Spatially correlated forest stand structures: A simulation approach using copulas

Computers and Electronics in Agriculture
Piecewise linear aggregation functions based on triangulation

Information Sciences: an International Journal
Partial correlation with copula modeling

Computational Statistics & Data Analysis
Design of experiments for bivariate binary responses modelled by Copula functions

Computational Statistics & Data Analysis
Conditional copulas, association measures and their applications

Computational Statistics & Data Analysis
Bivariate quasi-copulas and doubly stochastic signed measures

Fuzzy Sets and Systems
Semiparametric bivariate Archimedean copulas

Computational Statistics & Data Analysis
Bayesian spatial modeling and interpolation using copulas

Computers & Geosciences
Comparison of semiparametric maximum likelihood estimation and two-stage semiparametric estimation in copula models

Computational Statistics & Data Analysis
Superefficient estimation of the marginals by exploiting knowledge on the copula

Journal of Multivariate Analysis
Generalized Marshall-Olkin distributions and related bivariate aging properties

Journal of Multivariate Analysis
The complete mixability and convex minimization problems with monotone marginal densities

Journal of Multivariate Analysis
On the duality of aggregation operators and k-negations

Fuzzy Sets and Systems
On portfolio's default-risk-adjusted duration and value: model and algorithm based on copulas

WINE'06 Proceedings of the Second international conference on Internet and Network Economics
Aggregation functions and contradictory information

Fuzzy Sets and Systems
Binary survival aggregation functions

Fuzzy Sets and Systems
Increasing directionally convex orderings of random vectors having the same copula, and their use in comparing ordered data

Journal of Multivariate Analysis
Characterization of multivariate heavy-tailed distribution families via copula

Journal of Multivariate Analysis
Copula estimation of distribution algorithms based on exchangeable Archimedean copula

International Journal of Computer Applications in Technology
OWA trees and their role in security modeling using attack trees

Information Sciences: an International Journal
Estimating discrete Markov models from various incomplete data schemes

Computational Statistics & Data Analysis
Time-dependent copulas

Journal of Multivariate Analysis
Semiparametric estimation of conditional copulas

Journal of Multivariate Analysis
Beyond simplified pair-copula constructions

Journal of Multivariate Analysis
Likelihood inference for Archimedean copulas in high dimensions under known margins

Journal of Multivariate Analysis
Modelling multi-output stochastic frontiers using copulas

Computational Statistics & Data Analysis
Vine copulas with asymmetric tail dependence and applications to financial return data

Computational Statistics & Data Analysis
Some aspects of modeling dependence in copula-based Markov chains

Journal of Multivariate Analysis
Directional dependence of random vectors

Information Sciences: an International Journal
Multivariate distributions and the moment problem

Journal of Multivariate Analysis
From the Huang-Kotz FGM distribution to Baker's bivariate distribution

Journal of Multivariate Analysis
A copula-based family of fuzzy implication operators

Fuzzy Sets and Systems
On (α,β)-homogeneous copulas

Information Sciences: an International Journal
Lattice-based sums

Information Sciences: an International Journal
Selecting and estimating regular vine copulae and application to financial returns

Computational Statistics & Data Analysis
A generalization of universal integrals by means of level dependent capacities

Knowledge-Based Systems
Estimation of a regression spline sample selection model

Computational Statistics & Data Analysis
On the estimation of Spearman's rho and related tests of independence for possibly discontinuous multivariate data

Journal of Multivariate Analysis
Moment-independent regional sensitivity analysis: Application to an environmental model

Environmental Modelling & Software
Measurement of bivariate risks by the north-south quantile points approach

Journal of Computational and Applied Mathematics
Some results on a transformation of copulas and quasi-copulas

Information Sciences: an International Journal
Maximal non-exchangeability in dimension d

Journal of Multivariate Analysis
Stochastic comparisons of order statistics and their concomitants

Journal of Multivariate Analysis
Note(s): A note on the asymptotic behavior of the Bernstein estimator of the copula density

Journal of Multivariate Analysis

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Abstract

The study of copulas and their role in statistics is a new but vigorously growing field. In this book the student or practitioner of statistics and probability will find discussions of the fundamental properties of copulas and some of their primary applications. The applications include the study of dependence and measures of association, and the construction of families of bivariate distributions. This book is suitable as a text or for self-study.