Papers › A new class of copula regression models for modelling multivariate heavy-tailed data
A new class of copula regression models for modelling multivariate heavy-tailed data
Zhengxiao Li, Jan Beirlant, Liang Yang
The archive published only this paper's code-link row. Authors, date and abstract are from arXiv's metadata (CC0), read from the Kaggle arXiv metadata snapshot of 2026-09-12 where its title matched the archive's; the title is the archive's.
A new class of copulas, termed the MGL copula class, is introduced. The new copula originates from extracting the dependence function of the multivariate generalized log-Moyal-gamma distribution whose marginals follow the univariate generalized log-Moyal-gamma (GLMGA) distribution as introduced in \citet{li2019jan}. The MGL copula can capture nonelliptical, exchangeable, and asymmetric dependencies among marginal coordinates and provides a simple formulation for regression applications. We discuss the probabilistic characteristics of MGL copula and obtain the corresponding extreme-value copula, named the MGL-EV copula. While the survival MGL copula can be also regarded as a special case of the MGB2 copula from \citet{yang2011generalized}, we show that the proposed model is effective in regression modelling of dependence structures. Next to a simulation study, we propose two applications illustrating the usefulness of the proposed model. This method is also implemented in a user-friendly R package: \texttt{rMGLReg}.
Code
Repository list and official/mentioned flags are the archive's, frozen 2025-07-28. Reachability, where shown, is from one Syntology probe window (2026-09-16 to 2026-09-18); repositories not probed show nothing. GitHub stars are not tracked.
Code Syntology ran Syntology
Not run by Syntology. Nothing on this page verifies that the listed code works.
Results from the paper archive 2025-07-28
No leaderboard rows for this paper in the archive.
Report a problem or propose a change · a person checks every report against the paper or source before anything changes; decisions are listed on /corrections