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An Introduction to Copulas
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This book discusses the fundamental properties of copulas and some of their primary applications, which include the study of dependence and measures of association, and the construction of families of bivariate distributions.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.read more
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Journal ArticleDOI
Probabilistic modeling of flood characterizations with parametric and minimum information pair-copula model
TL;DR: It is demonstrated that any multivariate density can be approximated to any degree of desired precision using minimum information pair-copula model and can be practically used for probabilistic flood hazard assessment.
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Chessboard Distributions and Random Vectors with Specified Marginals and Covariance Matrix
TL;DR: The approach is used to rigorously establish that there are sets of marginals with feasible covariance matrix that the NORTA method cannot match, and how to modify the initialization phase of NORTA so that it will exactly match the marginals, and approximately match the desired covariance Matrix.
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Regression Survival Analysis with an Assumed Copula for Dependent Censoring: A Sensitivity Analysis Approach
Xuelin Huang,Nan Zhang +1 more
TL;DR: An approach to do sensitivity analysis for the widely used Cox proportional hazards models with the joint distribution of the failure and censoring times assumed to be a function of their marginal distributions is provided.
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Modeling Financial Return Dynamics via Decomposition
TL;DR: This article decompose the returns into a product of sign and absolute value components whose joint distribution is obtained by combining a multiplicative error model for absolute values, a dynamic binary choice model for signs, and a copula for their interaction.
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Convincing State-Builders? Disaggregating Internal Legitimacy in Abkhazia
TL;DR: In this paper, the authors investigated the internal legitimacy of de facto states' internal legitimacy, i.e., people's confidence in the entity itself, the regime, and institutions.