On the multivariate probability integral transformation
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Mohamed N. Jouini & Robert T. Clemen, 1996. "Copula Models for Aggregating Expert Opinions," Operations Research, INFORMS, vol. 44(3), pages 444-457, June.
- Joe, Harry, 1990. "Multivariate concordance," Journal of Multivariate Analysis, Elsevier, vol. 35(1), pages 12-30, October.
- Genest, Christian & Rivest, Louis-Paul, 1989. "A characterization of gumbel's family of extreme value distributions," Statistics & Probability Letters, Elsevier, vol. 8(3), pages 207-211, August.
- Barbe, Philippe & Genest, Christian & Ghoudi, Kilani & Rémillard, Bruno, 1996. "On Kendall's Process," Journal of Multivariate Analysis, Elsevier, vol. 58(2), pages 197-229, August.
- Ali, Mir M. & Mikhail, N. N. & Haq, M. Safiul, 1978. "A class of bivariate distributions including the bivariate logistic," Journal of Multivariate Analysis, Elsevier, vol. 8(3), pages 405-412, September.
- Capéraà, Philippe & Fougères, Anne-Laure & Genest, Christian, 2000. "Bivariate Distributions with Given Extreme Value Attractor," Journal of Multivariate Analysis, Elsevier, vol. 72(1), pages 30-49, January.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Okhrin Ostap & Okhrin Yarema & Schmid Wolfgang, 2013.
"Properties of hierarchical Archimedean copulas,"
Statistics & Risk Modeling, De Gruyter, vol. 30(1), pages 21-54, March.
- Ostap Okhrin & Yarema Okhrin & Wolfgang Schmid, 2009. "Properties of Hierarchical Archimedean Copulas," SFB 649 Discussion Papers SFB649DP2009-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Fantazzini, Dean, 2010. "Three-stage semi-parametric estimation of T-copulas: Asymptotics, finite-sample properties and computational aspects," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2562-2579, November.
- Saminger-Platz Susanne & Klement Erich Peter & Arias-García José De Jesús & Mesiar Radko, 2017. "Characterizations of bivariate conic, extreme value, and Archimax copulas," Dependence Modeling, De Gruyter, vol. 5(1), pages 45-58, January.
- Di Bernardino Elena & Rullière Didier, 2016.
"On an asymmetric extension of multivariate Archimedean copulas based on quadratic form,"
Dependence Modeling, De Gruyter, vol. 4(1), pages 1-20, December.
- Elena Di Bernardino & Didier Rullière, 2016. "On an asymmetric extension of multivariate Archimedean copulas based on quadratic form," Post-Print hal-01147778, HAL.
- Charpentier, A. & Fougères, A.-L. & Genest, C. & Nešlehová, J.G., 2014. "Multivariate Archimax copulas," Journal of Multivariate Analysis, Elsevier, vol. 126(C), pages 118-136.
- repec:dau:papers:123456789/3346 is not listed on IDEAS
- Hofert, Marius & Huser, Raphaël & Prasad, Avinash, 2018. "Hierarchical Archimax copulas," Journal of Multivariate Analysis, Elsevier, vol. 167(C), pages 195-211.
- Elena Di Bernardino & Didier Rullière, 2016. "On an asymmetric extension of multivariate Archimedean copulas based on quadratic form," Working Papers hal-01147778, HAL.
- Joe, Harry & Ma, Chunsheng, 2000. "Multivariate Survival Functions with a Min-Stable Property," Journal of Multivariate Analysis, Elsevier, vol. 75(1), pages 13-35, October.
- Capéraà, Philippe & Fougères, Anne-Laure & Genest, Christian, 2000. "Bivariate Distributions with Given Extreme Value Attractor," Journal of Multivariate Analysis, Elsevier, vol. 72(1), pages 30-49, January.
- Hofert, Marius, 2021. "Right-truncated Archimedean and related copulas," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 79-91.
- Rihab Bedoui & Makram Ben Dbabis, 2009. "Copulas and bivariate risk measures : an application to hedge funds," Working Papers hal-04140876, HAL.
- Cooray Kahadawala, 2018. "Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family," Dependence Modeling, De Gruyter, vol. 6(1), pages 1-18, February.
- Liebscher, Eckhard, 2021. "Kendall regression coefficient," Computational Statistics & Data Analysis, Elsevier, vol. 157(C).
- Koen Decancq, 2020.
"Measuring cumulative deprivation and affluence based on the diagonal dependence diagram,"
METRON, Springer;Sapienza Università di Roma, vol. 78(2), pages 103-117, August.
- Koen Decancq, 2020. "Measuring cumulative deprivation and affluence based on the diagonal dependence diagram," Working Papers of Department of Economics, Leuven 652198, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Koen Decancq, 2020. "Measuring cumulative deprivation and affluence based on the diagonal dependence diagram," Working Papers 2004, Herman Deleeck Centre for Social Policy, University of Antwerp.
- Decancq, Koen, 2020. "Measuring cumulative deprivation and affluence based on the diagonal dependence diagram," LIDAM Reprints CORE 3119, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Ho-Yin Mak & Zuo-Jun Max Shen, 2014. "Pooling and Dependence of Demand and Yield in Multiple-Location Inventory Systems," Manufacturing & Service Operations Management, INFORMS, vol. 16(2), pages 263-269, May.
- Mainik, Georg, 2015. "Risk aggregation with empirical margins: Latin hypercubes, empirical copulas, and convergence of sum distributions," Journal of Multivariate Analysis, Elsevier, vol. 141(C), pages 197-216.
- Koen Decancq, 2014.
"Copula-based measurement of dependence between dimensions of well-being,"
Oxford Economic Papers, Oxford University Press, vol. 66(3), pages 681-701.
- Decancq K, 2009. "Copula-based Measurement of Dependence Between Dimensions of Well-being," Health, Econometrics and Data Group (HEDG) Working Papers 09/32, HEDG, c/o Department of Economics, University of York.
- DECANCQ, Koen, 2014. "Copula-based measurement of dependence between dimensions of well-being," LIDAM Reprints CORE 2663, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Koen DECANCQ, 2009. "Copula-based measurement of dependence between dimensions of well-being," Working Papers of Department of Economics, Leuven ces09.24, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- DECANCQ, Koen, 2014. "Copula-based measurement of dependence between dimensions of well-being," LIDAM Reprints CORE 2606, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Grothe, Oliver & Schnieders, Julius & Segers, Johan, 2013. "Measuring Association and Dependence Between Random Vectors," LIDAM Discussion Papers ISBA 2013026, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Fantazzini, Dean, 2011.
"Analysis of multidimensional probability distributions with copula functions,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 22(2), pages 98-134.
- Fantazzini, Dean, 2011. "Analysis of multidimensional probability distributions with copula functions. II," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 23(3), pages 98-132.
- Faugeras, Olivier P., 2009. "A quantile-copula approach to conditional density estimation," Journal of Multivariate Analysis, Elsevier, vol. 100(9), pages 2083-2099, October.
More about this item
Keywords
Copula Extreme value distribution Kendall's tau;Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:53:y:2001:i:4:p:391-399. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.