The DOI matches its Crossref record; 26 of the 26 references it cites were found in a registry or an index.
Modeling Multivariate Distributions with Continuous Margins Using the copula R Package
Open accessAbstract
The copula-based modeling of multivariate distributions with continuous margins is presented as a succession of rank-based tests: a multivariate test of randomness followed by a test of mutual independence and a series of goodness-of-fit tests. All the tests under consideration are based on the empirical copula, which is a nonparametric rank-based estimator of the true unknown copula. The principles of the tests are recalled and their implementation in the copula R package is briefly described. Their use in the construction of a copula model from data is thoroughly illustrated on real insurance and financial data.
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Cited by
Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine
Brechmann, E. C., & Schepsmeier, U. (2013) · Journal of Statistical Software · doi:10.18637/jss.v052.i03 · Cited by 498
Gräler, B., van den Berg, M. J., Vandenberghe, S., Petroselli, A., Grimaldi, S., De Baets, B., & Verhoest, N. E. C. (2013) · Hydrology and Earth System Sciences · doi:10.5194/hess-17-1281-2013 · Cited by 313
Basu, S., Wagner, R. G., Sewpaul, R., Reddy, P., & Davies, J. (2019) · The Lancet Global Health · doi:10.1016/s2214-109x(18)30450-9 · Cited by 69
Metadata
- Authors
- Kojadinovic, I., & Yan, J.
- Venue
- Journal of Statistical Software
- Publisher
- Foundation for Open Access Statistic
- Published
- 2010
- Volume
- 34
- Issue
- 9
- ISSN
- 1548-7660 (ISSN-L)
- OpenAlex
- W1911601650
- Cited by
- 395
- References
- 26
- FWCI
- 49.23
- Type
- journal article
- Language
- en
- Open access
- diamond
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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