WebSite Logo
  • Content
  • Similar Resources
  • Metadata
  • Cite This
  • Log-in
  • Fullscreen
Log-in
Do not have an account? Register Now
Forgot your password? Account recovery
  1. Science in China Series A: Mathematics
  2. Science in China Series A: Mathematics : Volume 59
  3. Science in China Series A: Mathematics : Volume 59, Issue 5, May 2016
  4. Dynamic bivariate normal copula
Loading...

Please wait, while we are loading the content...

Science in China Series A: Mathematics : Volume 60
Science in China Series A: Mathematics : Volume 59
Science in China Series A: Mathematics : Volume 59, Issue 12, December 2016
Science in China Series A: Mathematics : Volume 59, Issue 11, November 2016
Science in China Series A: Mathematics : Volume 59, Issue 10, October 2016
Science in China Series A: Mathematics : Volume 59, Issue 9, September 2016
Science in China Series A: Mathematics : Volume 59, Issue 8, August 2016
Science in China Series A: Mathematics : Volume 59, Issue 7, July 2016
Science in China Series A: Mathematics : Volume 59, Issue 6, June 2016
Science in China Series A: Mathematics : Volume 59, Issue 5, May 2016
Correlation functions of gauged linear σ-model
A characterization of Burniat surfaces with K $^{2}$=4 and of non nodal type
DG Poisson algebra and its universal enveloping algebra
Applications of balanced pairs
Large time behavior of solutions for a class of time-dependent Hamilton-Jacobi equations
The periodic unfolding method for the heat equation in perforated domains
Sharp constants for a class of multilinear integral operators and some applications
Real-valued valuations on Sobolev spaces
A new proof of a theorem of Petersen
Strong laws of large numbers for sub-linear expectations
Dynamic bivariate normal copula
Composite quantile regression estimation for P-GARCH processes
A smoothing trust region filter algorithm for nonsmooth least squares problems
Strategically supported cooperation in dynamic games with coalition structures
Science in China Series A: Mathematics : Volume 59, Issue 4, April 2016
Science in China Series A: Mathematics : Volume 59, Issue 3, March 2016
Science in China Series A: Mathematics : Volume 59, Issue 2, February 2016
Science in China Series A: Mathematics : Volume 59, Issue 1, January 2016
Science in China Series A: Mathematics : Volume 58
Science in China Series A: Mathematics : Volume 57
Science in China Series A: Mathematics : Volume 56
Science in China Series A: Mathematics : Volume 55
Science in China Series A: Mathematics : Volume 54
Science in China Series A: Mathematics : Volume 53
Science in China Series A: Mathematics : Volume 52
Science in China Series A: Mathematics : Volume 51
Science in China Series A: Mathematics : Volume 50
Science in China Series A: Mathematics : Volume 49
Science in China Series A: Mathematics : Volume 48
Science in China Series A: Mathematics : Volume 47
Science in China Series A: Mathematics : Volume 46
Science in China Series A: Mathematics : Volume 45
Science in China Series A: Mathematics : Volume 44
Science in China Series A: Mathematics : Volume 43
Science in China Series A: Mathematics : Volume 42
Science in China Series A: Mathematics : Volume 41
Science in China Series A: Mathematics : Volume 40

Similar Documents

...
On tail dependence for Grubbs’ copula-function

Article

...
Bivariate tail estimation: dependence in asymptotic independence

Article

...
Bivariate tail estimation: dependence in asymptotic independence (2004)

Article

...
Efficient estimation for additive hazards regression with bivariate current status data

Article

...
Tail dependence functions and vine copulas

Article

...
Bivariate Option Pricing Using Dynamic Copula Models (2005)

Article

...
Efficient estimation in the bivariate Normal copula model: Normal margins are least-favorable (1997)

Article

...
Methods of Tail Dependence Estimation

Thesis

...
On the tail dependence in bivariate hydrological frequency analysis

Article

Dynamic bivariate normal copula

Content Provider Springer Nature Link
Author Liao, Xin Peng, Liang Peng, ZuoXiang Zheng, YanTing
Copyright Year 2015
Abstract Normal copula with a correlation coefficient between −1 and 1 is tail independent and so it severely underestimates extreme probabilities. By letting the correlation coefficient in a normal copula depend on the sample size, Hüsler and Reiss (1989) showed that the tail can become asymptotically dependent. We extend this result by deriving the limit of the normalized maximum of n independent observations, where the i-th observation follows from a normal copula with its correlation coefficient being either a parametric or a nonparametric function of i/n. Furthermore, both parametric and nonparametric inference for this unknown function are studied, which can be employed to test the condition by Hüsler and Reiss (1989). A simulation study and real data analysis are presented too.
Starting Page 955
Ending Page 976
Page Count 22
File Format PDF
ISSN 16747283
Journal Science in China Series A: Mathematics
Volume Number 59
Issue Number 5
e-ISSN 18691862
Language English
Publisher Science China Press
Publisher Date 2016-01-06
Publisher Place Beijing
Access Restriction One Nation One Subscription (ONOS)
Subject Keyword estimation normal copula tail dependence/independence Applications of Mathematics
Content Type Text
Resource Type Article
Subject Mathematics
  • About
  • Disclaimer
  • Feedback
  • Sponsor
  • Contact
  • Chat with Us
About National Digital Library of India (NDLI)
NDLI logo

National Digital Library of India (NDLI) is a virtual repository of learning resources which is not just a repository with search/browse facilities but provides a host of services for the learner community. It is sponsored and mentored by Ministry of Education, Government of India, through its National Mission on Education through Information and Communication Technology (NMEICT). Filtered and federated searching is employed to facilitate focused searching so that learners can find the right resource with least effort and in minimum time. NDLI provides user group-specific services such as Examination Preparatory for School and College students and job aspirants. Services for Researchers and general learners are also provided. NDLI is designed to hold content of any language and provides interface support for 10 most widely used Indian languages. It is built to provide support for all academic levels including researchers and life-long learners, all disciplines, all popular forms of access devices and differently-abled learners. It is designed to enable people to learn and prepare from best practices from all over the world and to facilitate researchers to perform inter-linked exploration from multiple sources. It is developed, operated and maintained from Indian Institute of Technology Kharagpur.

Learn more about this project from here.

Disclaimer

NDLI is a conglomeration of freely available or institutionally contributed or donated or publisher managed contents. Almost all these contents are hosted and accessed from respective sources. The responsibility for authenticity, relevance, completeness, accuracy, reliability and suitability of these contents rests with the respective organization and NDLI has no responsibility or liability for these. Every effort is made to keep the NDLI portal up and running smoothly unless there are some unavoidable technical issues.

Feedback

Sponsor

Ministry of Education, through its National Mission on Education through Information and Communication Technology (NMEICT), has sponsored and funded the National Digital Library of India (NDLI) project.

Contact National Digital Library of India
Central Library (ISO-9001:2015 Certified)
Indian Institute of Technology Kharagpur
Kharagpur, West Bengal, India | PIN - 721302
See location in the Map
03222 282435
Mail: support@ndl.gov.in
Sl. Authority Responsibilities Communication Details
1 Ministry of Education (GoI),
Department of Higher Education
Sanctioning Authority https://www.education.gov.in/ict-initiatives
2 Indian Institute of Technology Kharagpur Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project https://www.iitkgp.ac.in
3 National Digital Library of India Office, Indian Institute of Technology Kharagpur The administrative and infrastructural headquarters of the project Dr. B. Sutradhar  bsutra@ndl.gov.in
4 Project PI / Joint PI Principal Investigator and Joint Principal Investigators of the project Dr. B. Sutradhar  bsutra@ndl.gov.in
Prof. Saswat Chakrabarti  will be added soon
5 Website/Portal (Helpdesk) Queries regarding NDLI and its services support@ndl.gov.in
6 Contents and Copyright Issues Queries related to content curation and copyright issues content@ndl.gov.in
7 National Digital Library of India Club (NDLI Club) Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach clubsupport@ndl.gov.in
8 Digital Preservation Centre (DPC) Assistance with digitizing and archiving copyright-free printed books dpc@ndl.gov.in
9 IDR Setup or Support Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops idr@ndl.gov.in
I will try my best to help you...
Cite this Content
Loading...