The DOI matches its Crossref record; 27 of the 27 references it cites were found in a registry or an index.
The t Copula and Related Copulas
Abstract
The t copula and its properties are described with a focus on issues related to the dependence of extreme values. The Gaussian mixture representation of a multivariate t distribution is used as a starting point to construct two new copulas, the skewed t copula and the grouped t copula, which allow more heterogeneity in the modelling of dependent observations. Extreme value considerations are used to derive two further new copulas: the t extreme value copula is the limiting copula of componentwise maxima of t distributed random vectors; the t lower tail copula is the limiting copula of bivariate observations from a t distribution that are conditioned to lie below some joint threshold that is progressively lowered. Both these copulas may be approximated for practical purposes by simpler, better-known copulas, these being the Gumbel and Clayton copulas respectively.
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Cites
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Self-citationThe Asymptotic Theory of Extreme Order Statistics
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Cited by
Pair-copula constructions of multiple dependence
Aas, K., Czado, C., Frigessi, A., & Bakken, H. (2009) · Insurance: Mathematics and Economics · doi:10.1016/j.insmatheco.2007.02.001 · Cited by 2,039
Westra, S., Fowler, H. J., Evans, J. P., Alexander, L. V., Berg, P., Johnson, F., Kendon, E. J., Lenderink, G., & Roberts, N. M. (2014) · Reviews of Geophysics · doi:10.1002/2014rg000464 · Cited by 1,533
Leng, G., & Hall, J. (2019) · Science of The Total Environment · doi:10.1016/j.scitotenv.2018.10.434 · Cited by 729
A review of copula models for economic time series
Patton, A. J. (2012) · Journal of Multivariate Analysis · doi:10.1016/j.jmva.2012.02.021 · Cited by 584
Statistical Modeling of Spatial Extremes
Davison, A. C., Padoan, S. A., & Ribatet, M. (2012) · Statistical Science · doi:10.1214/11-sts376 · Cited by 578
Metadata
- Authors
- Demarta, S., & McNeil, A. J.
- Venue
- International Statistical Review
- Publisher
- Wiley
- Published
- 2007-01-15
- Volume
- 73
- Issue
- 1
- Pages
- 111-129
- ISSN
- 0306-7734 (ISSN-L)
- OpenAlex
- W2127958806
- Cited by
- 958
- References
- 27
- FWCI
- 77.35
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
