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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
The structure and degree of dependence: A quantile regression approach.
TL;DR: In this paper, an alternative framework to decompose the dependence using quantile regression is proposed, where changes in the degree or structure of dependence can be modeled and tested for each quantile of the distribution.
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Conditional Copulas for Change Detection in Heterogeneous Remote Sensing Images
TL;DR: A new preprocessing technique is presented in this paper to automatically highlight changes in multitemporal strongly heterogeneous remotely sensed images where the two acquisitions, before and after a given event, are significantly different, due, for instance, to different sensors, acquisition modalities, or climatic conditions.
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Adaptive-sparse polynomial chaos expansion for reliability analysis and design of complex engineering systems
Chao Hu,Byeng D. Youn +1 more
TL;DR: The proposed adaptive-sparse polynomial chaos expansion method is highly efficient and accurate for reliability analysis and its sensitivity analysis, and it is capable of handling a nonlinear correlation.
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A new class of bivariate copulas
TL;DR: A wide class of bivariate copulas depending on two univariate functions which generalizes many known families of copulas is studied, which exhibit several properties concerning symmetry, dependence concepts, and concordance ordering.
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Selecting Copulas for Risk Management
TL;DR: Standard goodness-of-fit tests to copulas are extended and it is found that the Gaussian copula underestimates the probability of joint extreme downward movements, while the Gumbel copula overestimates this risk.