https://orcid.org/0000-0001-6071-7482
References
- Cherubini, U., Luciano, E., and Vecchiato, W. (2004), Copula Methods in Finance, Chichester: Wiley.
- Frees, E., and Valdez, E. (1998), ‘Understanding Relationships Using Copulas’, North American Actuarial Journal, 2, 1–25.
- Genest, C., and MacKay, J. (1986a), ‘Copules Archimédiennes Et Familles Des Lois Bidimensionnelles Dont Les Marges Sont Données’, Canadian Journal of Statistics, 14, 145–159.
- Genest, C., and MacKay, J. (1986b), ‘The Joy of Copulas: Bivariate Distributions with Uniform Marginals’, The American Statistician, 40, 280–285.
- Genest, C., Nešlehová, J., and Ziegel, J. (2011), ‘Inference in Multivariate Archimedean Copula Models’, Test, 20, 223–256.
- Genest, C., and Rivest, L.-P. (1993), ‘Statistical Inference Procedures for Bivariate Archimedean Copulas’, Journal of the American Statistical Association, 88, 1034–1043.
- Hartman, P. (1964), Ordinary Differential Equations, New York: Wiley.
- Hofert, M., Mächler, M., and McNeil, A. (2012), ‘Likelihood of Inference for Archimedean Copulas in High Dimensions Under Known Margins’, Journal of Multivariate Analysis, 110, 133–150.
- Joe, H. (1997), Multivariate Models and Dependence Concepts, London: Chapman & Hall.
- Kimberling, C.H. (1974), ‘A Probabilistic Interpretation of Complete Monotonicity’, Aequationes Mathematicae, 10, 152–164.
- McNeil, A.J., Frey, R., and Embrechts, P. (2005), Quantitative Risk Management: Concepts, Techniques and Tools, Princeton, NJ: Princeton University Press.
- McNeil, A.J., and Nešlehová, J. (2009), ‘Multivariate Archimedean Copulas, d-monotone Functions and l1-norm Symmetric Distributions’, Annals of Statistics, 37, 3059–3097.
- McNeil, A.J., and Nešlehová, J. (2010), ‘From Archimedean to Liouville Copulas’, Journal of Multivariate Analysis, 101, 1772–1790.
- Nelsen, R.B. (2006), An Introduction to Copulas, New York: Springer.
- Nelsen, R.B., Quesada-Molina, J.J., Rodríguez-Lallena, J.A., and Úbeda-Flores, M. (2002), “Multivariate Archimedean Quasi-copulas”, in Distributions with Given Marginals and Statistical Modelling, eds. C.M. Cuadras, J. Fortiana and J.A. Rodriguez-Lallena, Dordrecht: Springer.
- Oakes, D. (1989), ‘Bivariate Survival Models Induced by Frailties’, Journal of the American Statistical Association, 84, 487–493.
- Salvadori, G., de Michele, C., Kottegoda, N.T., and Rosso, R. (2007), Extremes in Nature: An Approach Using Copulas, New York: Springer.
- Widder, D.V. (1941), The Laplace Transform, Princeton, NJ: Princeton University Press.
- Williamson, R.E. (1956), ‘Multiply Monotone Functions and Their Laplace Transforms’, Duke Mathematical Journal, 23, 189–207.
- Wysocki, W. (2013), ‘When a Copula is Archimax’, Statistics & Probability Letters, 83, 37–45.
- Wysocki, W. (2015a), ‘Characterizations of Archimedean n-copulas’, Kybernetika, 51, 212–230.
- Wysocki, W. (2015b), ‘Kendall's Tau and Spearman's Rho for n-dimensional Archimedean Copulas and Their Asymptotic Properties’, Journal of Nonparametric Statistics, 27, 442–459.
- Wysocki, W. (2018), ‘Sampling from Archimedean n-Copulas’, Communications in Statistics – Theory & Methods, online.