Copulas: A review and recent developments

被引：60
作者：
Kolev, Nikolai
dos Anjos, Ulisses
Mendes, Beatriz Vaz de M.
机构：
[1] Univ Sao Paulo, Dept Stat, BR-05311970 Sao Paulo, Brazil
[2] Univ Fed Rio de Janeiro, Inst Math, Rio De Janeiro, Brazil
来源：
STOCHASTIC MODELS | 2006年 / 22卷 / 04期
基金：
巴西圣保罗研究基金会;
关键词：
copula; dependence measures; extremes; Kendall distribution; local dependence; multivariate marginals; normal asymptotic; order statistics; simulation;
D O I：
10.1080/15326340600878206
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.
引用
收藏
页码：617 / 660
页数：44
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