Copulas: A Review and Recent Developments

Copulas: A Review and Recent Developments

In this review paper we outline some recent contributions to copula theory. Several new author's investigations are presented briefly, namely: order statistics copula, copulas with given multivariate marginals, copula representation via a local dependence measure and applications of extreme val...

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Veröffentlicht in:Stochastic models 2006-12, Vol.22 (4), p.617-660
Hauptverfasser: Kolev, Nikolai, Anjos, Ulisses dos, Mendes, Beatriz Vaz de M.
Format: Artikel
Sprache:eng
Schlagworte:
Copula
Dependence measures
Exact sciences and technology
Extremes
Kendall distribution
Local dependence
Mathematics
Multivariate analysis
Multivariate marginals
Nonparametric inference
Normal asymptotic
Order statistics
Probability and statistics
Sciences and techniques of general use
Simulation
Statistics
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Beschreibung
Zusammenfassung:In this review paper we outline some recent contributions to copula theory. Several new author's investigations are presented briefly, namely: order statistics copula, copulas with given multivariate marginals, copula representation via a local dependence measure and applications of extreme value copulas.
ISSN:1532-6349
1532-4214
DOI:10.1080/15326340600878206