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Information Sciences, ISSN 0020-0255, 11/2019, Volume 503, pp. 23 - 38
We introduce a new method for constructing copulas —a special type of aggregation functions—based on the idea that if  ≤  ( ), for any continuous and... 
Copula | Archimedean copula | Zero-linear copula | Conic copula | COMPUTER SCIENCE, INFORMATION SYSTEMS | PROBABILITY MASS | ARCHIMEDEAN COPULAS | NOTION | ASYMMETRY | RESPECT | NON-EXCHANGEABILITY | CONSTRUCTION | AGGREGATION | Analysis | Numerical analysis
Journal Article
Fuzzy Sets and Systems, ISSN 0165-0114, 09/2019
Journal Article
Insurance Mathematics and Economics, ISSN 0167-6687, 2009, Volume 44, Issue 2, pp. 182 - 198
Journal Article
Journal of Statistical Software, ISSN 1548-7660, 2007, Volume 21, Issue 4, pp. 1 - 21
Copulas have become a popular tool in multivariate modeling successfully applied in many fields. A good open-source implementation of copulas is much needed... 
Multivariate analysis | Copula | TESTS | COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS | INDEPENDENCE | MODELS | BIVARIATE DISTRIBUTIONS | copula | STATISTICS & PROBABILITY | INFERENCE | multivariate analysis | ASSOCIATION | ARCHIMEDEAN COPULAS | DEPENDENCE
Journal Article
Journal of Multivariate Analysis, ISSN 0047-259X, 02/2013, Volume 114, Issue 1, pp. 318 - 337
A new class of copulas referred to as “Sibuya copulas” is introduced and its properties are investigated. Members of this class are of a functional form which... 
Archimedean copulas | Poisson process | Stochastic processes | Sibuya form | MULTIVARIATE DISTRIBUTIONS | NESTED ARCHIMEDEAN COPULAS | RISK | STATISTICS & PROBABILITY | ASSOCIATION | DEPENDENCE | Analysis | Algorithms
Journal Article
Journal of Multivariate Analysis, ISSN 0047-259X, 09/2018, Volume 167, pp. 195 - 211
The class of Archimax copulas is generalized to hierarchical Archimax copulas in two ways. First, a hierarchical construction of -norm generators is introduced... 
Nesting | Archimax copulas | Hierarchical frailties | Hierarchical stable tail dependence functions | DISTRIBUTIONS | SPECTRAL REPRESENTATION | MULTIVARIATE | STATISTICS & PROBABILITY | ARCHIMEDEAN COPULAS | HIGH DIMENSIONS
Journal Article
Journal of Multivariate Analysis, ISSN 0047-259X, 08/2013, Volume 119, pp. 101 - 118
So-called pair copula constructions (PCCs), specifying multivariate distributions only in terms of bivariate building blocks (pair copulas), constitute a... 
Pair copula construction | Conditional distribution | Archimedean copula | Elliptical copula | DEPENDENT RANDOM-VARIABLES | DISTRIBUTIONS | VINES | STATISTICS & PROBABILITY | MODEL | ARCHIMEDEAN COPULAS
Journal Article
Fuzzy Sets and Systems, ISSN 0165-0114, 04/2015, Volume 264, pp. 22 - 41
Journal Article
Fuzzy Sets and Systems, ISSN 0165-0114, 04/2015, Volume 264, pp. 42 - 50
In this study, we discuss additive generators of copulas with a fixed dimension and additive generators that yield copulas for any dimension . We review the... 
Copula | Archimedean copula | Joint distribution function | Additive generator | DISTRIBUTIONS | MATHEMATICS, APPLIED | MONOTONE FUNCTIONS | STATISTICS & PROBABILITY | COMPUTER SCIENCE, THEORY & METHODS | ARCHIMEDEAN COPULAS | TRANSFORMS | Construction | Additives | Generators | Fuzzy set theory
Journal Article
Journal of Statistical Computation and Simulation, ISSN 0094-9655, 06/2008, Volume 78, Issue 6, pp. 567 - 581
We give algorithms for sampling from non-exchangeable Archimedean copulas created by the nesting of Archimedean copula generators, where in the most general... 
11K45 | 60E10 | 00A72 | Archimedean copulas | Stochastic simulation | Laplace transforms | 65C05 | 62E15 | STATISTICS & PROBABILITY | COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS | stochastic simulation
Journal Article
Journal of Multivariate Analysis, ISSN 0047-259X, 04/2014, Volume 126, pp. 118 - 136
A multivariate extension of the bivariate class of Archimax copulas was recently proposed by Mesiar and Jágr (2013), who asked under which conditions it holds.... 
Multivariate extreme-value distribution | Domain of attraction | Archimedean copula | Stable tail dependence function | Williamson [formula omitted]-transform | Williamson d-transform | MIXTURES | EXTREME-VALUE DISTRIBUTIONS | MODELS | STATISTICS & PROBABILITY | VALUES | TAIL DEPENDENCE | Statistics | Mathematics
Journal Article
Journal Article
Water Resources Research, ISSN 0043-1397, 01/2004, Volume 40, Issue 1, pp. W01101 - W0110112
Journal Article
Information Sciences, ISSN 0020-0255, 06/2015, Volume 306, pp. 81 - 87
The most applied class of copulas for fitting purposes is undoubtedly the class of Archimedean copulas due to their representation by means of single functions... 
Copula | Convexity | Archimedean copula | Aggregation function | Pseudo-inverse of an additive generator | Additive generator | CONSTRUCTION METHODS | NORMS | COMPUTER SCIENCE, INFORMATION SYSTEMS | MONOTONE-FUNCTIONS | ARCHIMEDEAN COPULAS | Construction | Fittings | Additives | Mathematical analysis | Byproducts | Generators | Agglomeration | Representations
Journal Article
Journal of Multivariate Analysis, ISSN 0047-259X, 2008, Volume 99, Issue 10, pp. 2234 - 2250
In this paper we introduce two methods for the construction of asymmetric multivariate copulas. The first is connected with products of copulas. The second... 
62H20 | Copula | Tail dependence | Archimedean copula | MODELS | BIVARIATE DISTRIBUTIONS | FAMILIES | STATISTICS & PROBABILITY | DEPENDENCE | 62H20 Copula Archimedean copula Tail dependence
Journal Article
by Chen, T and He, SS and Wang, JQ and Li, L and Luo, HY
JOURNAL OF INTELLIGENT & FUZZY SYSTEMS, ISSN 1064-1246, 2019, Volume 37, Issue 2, pp. 2887 - 2912
Journal Article
Journal of Multivariate Analysis, ISSN 0047-259X, 2010, Volume 101, Issue 1, pp. 252 - 270
Tail dependence and conditional tail dependence functions describe, respectively, the tail probabilities and conditional tail probabilities of a copula at... 
Archimedean copulas | D-vine | C-vine | Conditional tail | Extreme value | EXTREME-VALUE DISTRIBUTIONS | MULTIVARIATE | STATISTICS & PROBABILITY | RANDOM-VARIABLES | VERSIONS | FAMILY | Archimedean copulas Conditional tail D-vine C-vine Extreme value
Journal Article
Statistics and Probability Letters, ISSN 0167-7152, 01/2017, Volume 120, pp. 8 - 17
We revisit the notion of Conditional Value-at-Risk (shortly, CoVaR) by weakening the usual assumptions on the joint distribution function of the involved... 
CoVaR | Value-at-Risk | Risk measure | Systemic risk | Copula | Singular measure | STATISTICS & PROBABILITY | ARCHIMEDEAN COPULAS | Family
Journal Article
Journal of Multivariate Analysis, ISSN 0047-259X, 09/2012, Volume 110, pp. 151 - 160
We survey recent developments on hierarchical copula models and focus on those arising as factor models. We unify the literature by introducing the notion of -... 
[formula omitted]-extendible copula | Factor model | De Finetti’s theorem | Hierarchical copula | De Finetti's theorem | H-extendible copula | MULTIVARIATE DISTRIBUTIONS | h-extendible copula | MARSHALL-OLKIN COPULAS | FAMILIES | STATISTICS & PROBABILITY | EXPONENTIAL-DISTRIBUTION | ARCHIMEDEAN COPULAS | TAIL DEPENDENCE
Journal Article
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