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An information-theoretic approach to statistical dependence: Copula information
3 references·5 citing·26 second hop
An information-theoretic approach to statistical dependence: Copula information (2009)An information-theoretic approach to stat…Goodness-of-fit test for copulas (2005)Goodness-of-fit test for copu…Testing the Gaussian copula hypothesis for financial assets dependences (2003)Testing the Gaussian copula h…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Relationship Between Kendall's tau Correlation and Mutual Information (2020)Relationship Between Kendall'…Estimating Differential Entropy using Recursive Copula Splitting (2020)Estimating Differential Entro…Comparison, utility, and partition of dependence under absolutely continuous and singular distributions (2014)Comparison, utility, and part…An Information-Theoretic Approach to Optimally Calibrate Approximate Models (2012)An Information-Theoretic Appr…Bayesian experimental design for the active nitridation of graphite by atomic nitrogen (2011)Bayesian experimental design …On a Measure of the Information Provided by an Experiment (1956)Bayesian Experimental Design: A Review (1995)An Introduction to Copulas (1999)Theory of optimal experiments (1972)Theory of Optimal Experiments. (1972)Simulation-based optimal Bayesian experimental design for nonlinear systems (2012)Sequential Bayesian optimal experimental design via approximate dynamic programming (2016)Bayesian sequential optimal experimental design for nonlinear models using policy gradient reinforcement learning (2023)A Dependence Metric for Possibly Nonlinear Processes (2004)Copulas for Finance - A Reading Guide and Some Applications (2007)Multivariate non-normally distributed random variables in climate research – introduction to the copula approach (2008)Copula–Based Models for Financial Time Series (2009)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)USING THE MUTUAL INFORMATION COEFFICIENT TO IDENTIFY LAGS IN NONLINEAR MODELS (1994)Copula Theory and Its Applications (2010)Copula Theory: An Introduction (2010)A NEW MEASURE OF RANK CORRELATION (1938)Goodness-of-fit tests for copulas: A review and a power study (2007)Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficient Diversification of Investments. (1962)Financial crises and stock market contagion in a multivariate time-varying asymmetric framework (2010)
this work references cited by second hop

References

  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2003Testing the Gaussian copula hypothesis for financial assets dependences198 cited
  • 2005Goodness-of-fit test for copulas91 cited

Cited by

  • 2011Bayesian experimental design for the active nitridation of graphite by atomic nitrogen55 cited
  • 2014Comparison, utility, and partition of dependence under absolutely continuous and singular distributions18 cited
  • 2020Relationship Between Kendall's tau Correlation and Mutual Information17 cited
  • 2020Estimating Differential Entropy using Recursive Copula Splitting17 cited
  • 2012An Information-Theoretic Approach to Optimally Calibrate Approximate Models12 cited

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