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A Copula‐Based Non‐parametric Measure of Regression Dependence
9 references·7 citing·35 second hop
A Copula‐Based Non‐parametric Measure of Regression Dependence (2012)A Copula‐Based Non‐parametric Measure of …Improved kernel estimation of copulas: Weak convergence and goodness-of-fit testing (2009)Improved kernel estimation of…Nonparametric estimation of copula functions for dependence modelling (2007)Nonparametric estimation of c…Weak convergence of empirical copula processes (2004)Weak convergence of empirical…Goodness-of-fit tests for copulas (2004)Goodness-of-fit tests for cop…Nonparametric estimation of copulas for time series (2003)Nonparametric estimation of c…An Introduction to Copulas (1999)An Introduction to CopulasCopulas and Markov processes (1992)Copulas and Markov processesOn measures of concordance (1984)On measures of concordanceOn Nonparametric Measures of Dependence for Random Variables (1981)On Nonparametric Measures of …On relationships between Chatterjee’s and Spearman’s correlation coefficients (2024)On relationships between Chat…A Survey of Some Recent Developments in Measures of Association (2024)A Survey of Some Recent Devel…On a multivariate copula-based dependence measure and its estimation (2022)On a multivariate copula-base…Global sensitivity analysis: A novel generation of mighty estimators based on rank statistics (2022)Global sensitivity analysis: …On weak conditional convergence of bivariate Archimedean and Extreme Value copulas, and consequences to nonparametric estimation (2021)On weak conditional convergen…Estimating scale-invariant directed dependence of bivariate distributions (2020)Estimating scale-invariant di…Copula theory and probabilistic sensitivity analysis: Is there a connection? (2019)Copula theory and probabilist…Random variables, joint distribution functions, and copulas (1973)THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS (2004)Copula Theory: An Introduction (2010)Copula Methods for Forecasting Multivariate Time Series (2013)Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions (1995)Understanding Relationships Using Copulas (1998)Estimating the tail-dependence coefficient: Properties and pitfalls (2005)Models for construction of multivariate dependence – a comparison study (2008)Multivariate non-normally distributed random variables in climate research – introduction to the copula approach (2008)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Non‐parametric Estimation of Tail Dependence (2005)Semiparametric estimation in copula models (2005)Ordinal Measures of Association (1958)Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données (1986)Correlations and Copulas for Decision and Risk Analysis (1999)Copulas for Finance - A Reading Guide and Some Applications (2007)Enjoy the Joy of Copulas: With a Packagecopula (2007)Goodness-of-fit tests for copulas: A review and a power study (2007)Conditional copulas, association measures and their applications (2010)Estimation of a Conditional Copula and Association Measures (2011)Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates (2001)The Design and Analysis of Computer Experiments (2003)Global sensitivity analysis using polynomial chaos expansions (2007)Dimension-independent single-loop Monte Carlo simulation method for estimate of Sobol’ indices in variance-based sensitivity analysis (2025)A Primer on Copulas for Count Data (2007)A Primer on Copulas for Count Data (2007)New Evidence of Asymmetric Dependence Structures in International Equity Markets (2008)Dependence Calibration in Conditional Copulas: A Nonparametric Approach (2010)Probit transformation for nonparametric kernel estimation of the copula density (2017)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)Testing for equality between two copulas (2008)On the structure and estimation of hierarchical Archimedean copulas (2012)
this work references cited by second hop

References

  • 1999An Introduction to Copulas7,743 cited
  • 1981On Nonparametric Measures of Dependence for Random Variables601 cited
  • 2004Weak convergence of empirical copula processes396 cited
  • 2004Goodness-of-fit tests for copulas336 cited
  • 1992Copulas and Markov processes335 cited
  • 1984On measures of concordance213 cited
  • 2003Nonparametric estimation of copulas for time series199 cited
  • 2007Nonparametric estimation of copula functions for dependence modelling164 cited
  • 2009Improved kernel estimation of copulas: Weak convergence and goodness-of-fit testing130 cited

Cited by

  • 2022Global sensitivity analysis: A novel generation of mighty estimators based on rank statistics35 cited
  • 2020Estimating scale-invariant directed dependence of bivariate distributions35 cited
  • 2021On weak conditional convergence of bivariate Archimedean and Extreme Value copulas, and consequences to nonparametric estimation29 cited
  • 2022On a multivariate copula-based dependence measure and its estimation26 cited
  • 2024On relationships between Chatterjee’s and Spearman’s correlation coefficients22 cited
  • 2019Copula theory and probabilistic sensitivity analysis: Is there a connection?

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21 cited
  • 2024A Survey of Some Recent Developments in Measures of Association14 cited