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RISClosure to “Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask” by C. Genest and A.-C. Favre
Publisher: American Society of Civil Engineers
Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask
Publisher: American Society of Civil Engineers
Abstract: This paper presents an introduction to inference for copula models, based on rank methods. By working out in detail a small, fictitious numerical example, the writers exhibit the various steps involved in investigating the ...
Closure to “Importance of Tail Dependence in Bivariate Frequency Analysis” by Annie Poulin, David Huard, Anne-Catherine Favre, and Stéphane Pugin
Publisher: American Society of Civil Engineers
Importance of Tail Dependence in Bivariate Frequency Analysis
Publisher: American Society of Civil Engineers
Abstract: This paper highlights the importance of taking into account the tail dependence in the context of bivariate frequency analysis based on copulas. Three nonparametric estimators of the tail-dependence coefficient are compared ...