Related papers: A test for Archimedeanity in bivariate copula mode…
The copulas of random vectors with standard uniform univariate margins truncated from the right are considered and a general formula for such right-truncated conditional copulas is derived. This formula is analytical for copulas that can be…
The purpose of this paper is twofold. First, we provide a novel characterization of independence of random vectors based on the checkerboard approximation to a multivariate copula. Using this result, we then propose a new family of tests of…
In this paper, the author introduces new methods to construct Archimedean copulas. The generator of each copula fulfills the sufficient conditions as regards the boundary and being continuous, decreasing, and convex. Each inverse generator…
We answer a 15-year-old open question about the exact upper bound for bivariate copulas with a given diagonal section by giving an explicit formula for this bound. As an application, we determine the maximal asymmetry of bivariate copulas…
Asymmetry is an inherent property of bivariate associations and therefore must not be ignored. The currently applicable dependence measures mask the potential asymmetry of the underlying dependence structure by implicitly assuming that…
Considering multivariate strongly mixing time series, nonparametric tests for a constant copula with specified or unspecified change point (candidate) are derived; the tests are consistent against general alternatives. A tapered block…
For the analysis of clustered survival data, two different types of models that take the association into account, are commonly used: frailty models and copula models. Frailty models assume that conditional on a frailty term for each…
This paper addresses the problem of quantification and propagation of uncertainties associated with dependence modeling when data for characterizing probability models are limited. Practically, the system inputs are often assumed to be…
We propose the extension of Fr\'{e}chet-Hoeffding copula bounds for circular data. The copula is a powerful tool for describing the dependency of random variables. In two dimensions, the Fr\'{e}chet-Hoeffding upper (lower) bound indicates…
Risk evaluation is a forecast, and its validity must be backtested. Probability distribution forecasts are used in this work and allow for more powerful validations compared to point forecasts. Our aim is to use bivariate copulas in order…
We determine under which conditions three bivariate copulas are compatible, viz. they are the bivariate marginals of the same trivariate copula, and, then, construct the class of these copulas. In particular, the upper and lower bounds for…
As the meta-analysis of more than one diagnostic tests can impact clinical decision making and patient health, there is an increasing body of research in models and methods for meta-analysis of studies comparing multiple diagnostic tests.…
We describe here a new method to estimate copula measure. From N observations of two variables X and Y, we draw a huge number m of subsamples (size n<N), and we compute the joint ranks in these subsamples. Then, for each bivariate rank…
This paper introduces a robust estimation framework based solely on the copula function. We begin by introducing a family of divergence measures tailored for copulas, including the \(\alpha\)-, \(\beta\)-, and \(\gamma\)-copula divergences,…
Motivated by a recently established result saying that within the class of bivariate Archimedean copulas standard pointwise convergence implies weak convergence of almost all conditional distributions this contribution studies the class…
In this paper, we proposed a multivariate normality test based on copula entropy. The test statistic is defined as the difference between the copula entropies of unknown distribution and the Gaussian distribution with same covariances. The…
A smooth test to simultaneously compare $K$ copulas, where $K \geq 2$ is proposed. The $K$ observed populations can be paired, and the test statistic is constructed based on the differences between moment sequences, called copula…
Testing copula hypothesis is of fundamental importance in the applications of copula theory. In this paper we proposed a copula hypothesis testing with copula entropy. Since copula entropy is a unified theory in probability and therefore…
In this work, we propose extropy measures based on density copula, distributional copula, and survival copula, and explore their properties. We study the effect of monotone transformations for the proposed measures and obtain bounds. We…
Financial crises are usually associated with increased cross-sectional dependence between asset returns, causing asymmetry between the lower and upper tail of return distribution. The detection of asymmetric dependence is now understood to…