This survey reviews the large and growing literature on copula-based models for economic
and financial time series. Copula-based multivariate models allow the researcher to specify …

Many proposals have been made recently for goodness-of-fit testing of copula models. After
reviewing them briefly, the authors concentrate on “blanket tests”, ie, those whose …

This package includes both Mathematical Statistics: Basic Ideas and Selected Topics,
Volume I, Second Edition, as well as Mathematical Statistics: Basic Ideas and Selected …

We propose a semiparametric approach called the nonparanormal SKEPTIC for efficiently
and robustly estimating high-dimensional undirected graphical models. To achieve …

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 …

Recent methods for estimating sparse undirected graphs for real-valued data in high
dimensional problems rely heavily on the assumption of normality. We show how to use a …

It is more common for educational and psychological data to be nonnormal than to be
approximately normal. This tendency may lead to bias and error in point estimates of the …

Robust rank correlation based screening Page 1 The Annals of Statistics 2012, Vol. 40, No. 3,
1846–1877 DOI: 10.1214/12-AOS1024 © Institute of Mathematical Statistics, 2012 ROBUST …

Correlation and Dependence: An Introspection | Correlation and Dependence World Scientific
Search This Book Anywhere Quick Search in Books Enter words / phrases / DOI / ISBN …

This paper studies the estimation of a class of copula-based semiparametric stationary
Markov models. These models are characterized by nonparametric marginal distributions …