Pavel Krupskiy

Flexible copula models with dynamic dependence and application to financial data

Pavel Krupskii, Harry Joe

Journal article  |  2020  |  Econometrics and Statistics

Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients

Pavel Krupskii, Harry Joe

Journal article  |  2019  |  Journal of Multivariate Analysis

Copula-based monitoring schemes for non-Gaussian multivariate processes

Pavel Krupskii, Fouzi Harrou, Amanda S Hering, Ying Sun

Journal article  |  2019  |  Journal of Quality Technology

A copula model for non-Gaussian multivariate spatial data

Pavel Krupskii, Marc G Genton

Journal article  |  2019  |  Journal of Multivariate Analysis

Linear factor copula models and their properties

Pavel Krupskii, Marc G Genton

Journal article  |  2018  |  Scandinavian Journal of Statistics

Extreme-value limit of the convolution of exponential and multivariate normal distributions: Link to the Husler-Reiss distribution

Pavel Krupskii, Harry Joe, David Lee, Marc G Genton

Journal article  |  2018  |  Journal of Multivariate Analysis

Factor Copula Models for Replicated Spatial Data

Pavel Krupskii, Raphael Huser, Marc G Genton

Journal article  |  2018  |  Journal of the American Statistical Association

Tail-weighted dependence measures with limit being the tail dependence coefficient

David Lee, Harry Joe, Pavel Krupskii

Journal article  |  2018  |  Journal of Nonparametric Statistics

Copula-based measures of reflection and permutation asymmetry and statistical tests

Pavel Krupskii

Journal article  |  2017  |  Statistical Papers

Factor copula models for data with spatio-temporal dependence

Pavel Krupskii, Marc G Genton

Journal article  |  2017  |  Spatial Statistics