502 citations · 517 across the 9 of their papers we have counts for
5 papers · 1 filter
Stochastic Inversion of Multivariate Uniform-Distribution-Preserving Transformations
Alexander J. McNeil, Johanna G. Nešlehová
A multivariate transformation of the unit cube with component transformations that are piecewise continuously differentiable and uniform distribution preserving (udp) is considered…
On attainability of Kendall's tau matrices and concordance signatures
Alexander J. McNeil, Johanna G. Neslehova, Andrew D. Smith
Methods are developed for checking and completing systems of bivariate and multivariate Kendall's tau concordance measures in applications where only partial information about depe…
On the Computation of Multivariate Scenario Sets for the Skew-t and Generalized Hyperbolic Families
Emanuele Giorgi, Alexander J. McNeil
We examine the problem of computing multivariate scenarios sets for skewed distributions. Our interest is motivated by the potential use of such sets in the "stress testing" of ins…
Likelihood inference for Archimedean copulas
Marius Hofert, Martin Mächler, Alexander J. McNeil
Explicit functional forms for the generator derivatives of well-known one-parameter Archimedean copulas are derived. These derivatives are essential for likelihood inference as the…
Multivariate Archimedean copulas, -monotone functions and -norm symmetric distributions
Alexander J. McNeil, Johanna Nešlehová
It is shown that a necessary and sufficient condition for an Archimedean copula generator to generate a -dimensional copula is that the generator is a -monotone function. The…