The COPULA Procedure

References

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  • Devroye, L. (1986), Non-uniform Random Variate Generation, New York: Springer-Verlag.
    URL http://luc.devroye.org/rnbookindex.html

  • Fisher, N. I. and Switzer, P. (2001), “Graphical Assessment of Dependence: Is a Picture Worth 100 Tests?” American Statistician, 55, 233–239.

  • Galiani, S. S. (2003), “Copula Functions and Their Application in Pricing and Risk Managing Multiname Credit Derivative Products,” http://www.defaultrisk.com.

  • Genest, C., Ghoudi, K., and Rivest, L. P. (1995), “A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions,” Biometrika, 82, 543–552.

  • Joe, H. (1997), Multivariate Models and Dependence Concepts, London: Chapman & Hall.

  • Joe, H. and Xu, J. (1996), The Estimation Method of Inference Functions for Margins for Multivariate Models, Technical Report 166, University of British Columbia.

  • Marshall, A. W. and Olkin, I. (1988), “Families of Multivariate Distributions,” Journal of the American Statistical Association, 83, 834–841.

  • McNeil, A., Frey, R., and Embrechts, P. (2005), Quantitative Risk Management: Concepts, Techniques, and Tools, Princeton, NJ: Princeton University Press.

  • Mendes, B. V. M., de Melo, E. F. L., and Nelsen, R. B. (2007), “Robust Fits for Copula Models,” Communications in Statistics—Simulation and Computation, 36, 997–1008.

  • Nelsen, R. B. (2006), An Introduction to Copulas, 2nd Edition, New York: Springer.

  • Nolan, J. P. (2010), Stable Distributions: Models for Heavy Tailed Data, Boston: Birkhäuser.

  • Rüschendorf, L. (2009), “On the Distributional Transform, Sklar’s Theorem, and the Empirical Copula Process,” Journal of Statistical Planning and Inference, 11, 3921–3927.

  • Sklar, A. (1959), “Fonctions de répartition à n dimensions et leurs marges,” Publications de l’Institut de Statistique de L’Université de Paris, 8, 229–231.

  • Wu, F., Valdez, E., and Sherris, M. (2007), “Simulating from Exchangeable Archimedean Copulas,” Communications in Statistics—Simulation and Computation, 36, 1019–1034.