Dependence Properties of Meta-Elliptical Distributions

By B. Abdous, Christian Genest, Bruno R'emillard. 2005

82 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/fab595a43620698c962835ff6f272018687eff9f

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Citations in the corpus

Copula-Based Models for Multivariate Discrete Response Data (2013, methodology): “Two well known members of elliptical copulas [7, 1], the MVN and Student t copulas have been used in the literature for prediction and modeling of dependent discrete data.”
Geostatistical interpolation using copulas (2008, background): “The reason for not taking them for our example is that their dependence is fully symmetrical [Abdous et al., 2005].”
Weighted likelihood copula modeling of extreme rainfall events in Connecticut. (2010, background): “…(u1, . . . , up) ∈ (0, 1)p. Properties of metaelliptical copulas have been studied112 by many authors (e.g., Fang et al., 2002; Hult and Lindskog, 2002; Abdous et al., 2005).113 Genest et al. (2007) present detailed analyses and statistical inferences of metaelliptical114 copulas in the context…”
Estimating the tail-dependence coefficient: Properties and pitfalls (2005, background): “Note that ρ = 0 does not correspond to independence; see, e.g., Abdous et al. (2005) for additional discussion concerning the dependence properties of this class of copulas.”
Importance of Tail Dependence in Bivariate Frequency Analysis (2007, methodology): “This class has been described, e.g., in Fang et al. 2002 or Abdous et al. 2005 .”
Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007, background): “Hougaard system mentioned just above Joe’s BB5 family and the classes of copulas introduced by Galambos 1975, Husler and Reiss 1989, and Tawn 1988; 3. Meta-elliptical copulas described, e.g., in Fang et al. 2002 or Abdous et al. 2005, most notably the normal, the Student, and the Cauchy copulas; a”