Copulas and Dependence Models with Applications: Contributions in Honor of Roger B. Nelsen

Description

This book presents contributions and review articles on the theory of copulas and their applications. The authoritative and refereed contributions review the latest findings in the area with emphasis on “classical” topics like distributions with fixed marginals, measures of association, construction of copulas with given additional information, etc. The book celebrates the 75th birthday of Professor Roger B. Nelsen and his outstanding contribution to the development of copula theory. Most of the book’s contributions were presented at the conference “Copulas and Their Applications” held in his honor in Almería, Spain, July 3-5, 2017. The chapter 'When Gumbel met Galambos' is published open access under a CC BY 4.0 license. Front Matter ....Pages i-xvii Constructions of copulas under prescribed sections (Enrique de Amo, Manuel Díaz Carrillo, Juan Fernández Sánchez)....Pages 1-19 The Gumbel-Marshall-Olkin distribution (Umberto Cherubini, Sabrina Mulinacci)....Pages 21-31 A look at copulas in a curved mirror (Bernard De Baets, Hans De Meyer)....Pages 33-47 Copula–based clustering methods (F. Marta L. Di Lascio, Fabrizio Durante, Roberta Pappadà)....Pages 49-67 Copula-based piecewise regression (Arturo Erdely)....Pages 69-81 When Gumbel met Galambos (Christian Genest, Johanna G. Nešlehová)....Pages 83-93 On the Conditional Value-at-Risk (CoVaR) in copula setting (Piotr Jaworski)....Pages 95-117 Parametric copula families for statistical models (Harry Joe)....Pages 119-134 Copula constructions using ultramodularity (Erich Peter Klement, Anna Kolesárová, Radko Mesiar, Susanne Saminger-Platz)....Pages 135-156 Operations on Finite Settings: from Triangular Norms to Copulas (Gaspar Mayor, Jaume Suñer, Joan Torrens)....Pages 157-170 My meetings with Roger B. Nelsen (José Juan Quesada-Molina)....Pages 171-180 Improved Hoeffding–Fréchet bounds and applications to VaR estimates (Ludger Rüschendorf)....Pages 181-202 Quasi–copulas: a brief survey (Carlo Sempi)....Pages 203-224 Complete dependence everywhere? (Wolfgang Trutschnig)....Pages 225-240 Sklar’s theorem: The cornerstone of the Theory of Copulas (Manuel Úbeda-Flores, Juan Fernández-Sánchez)....Pages 241-258