Results 41 to 50 of about 194 (157)

On a characteristic property of generalized Pareto distributions, extreme value distributions and their max domains of attraction

, 2010
Characterization, Generalized Pareto distributions, Extreme value distributions, Necessary conditions for max domains of attraction, 60E05, 62E10,
Ravi, S., S. Ravi
core   +1 more source

Copulas, stable tail dependence functions, and multivariate monotonicity

Dependence Modeling, 2019
For functions of several variables there exist many notions of monotonicity, three of them being characteristic for resp. distribution, survival and co-survival functions. In each case the “degree” of monotonicity is just the basic one of a whole scale.
Ressel Paul
doaj   +1 more source

Families of distributions arising from distributions of order statistics

, 2004
Beta distribution, LogF distribution, L U distribution, order statistics, probability integral transform, skewt distribution, subject classification, 60E05, 62E10, 62F99,
M. Jones, Jones, M.C.
core   +1 more source

A note on bivariate Archimax copulas

Dependence Modeling, 2018
We present an analytical proof of the characterisation of bivariate Archimax copulas in terms of the properties of their generating functions.
Durante Fabrizio, Sánchez Juan Fernández, Sempi Carlo   +2 more
doaj   +1 more source

The functional average treatment effect

Journal of Causal Inference
This article establishes the functional average as an important estimand for causal inference. The significance of the estimand lies in its robustness against traditional issues of confounding.
Sparkes Shane, Garcia Erika, Zhang Lu
doaj   +1 more source

Modelling cascading effects for systemic risk: Properties of the Freund copula

Dependence Modeling, 2019
We consider a dependent lifetime model for systemic risk, whose basic idea was for the first time presented by Freund. This model allows to model cascading effects of defaults for arbitrarily many economic agents.
Guzmics Sándor, Pflug Georg Ch.
doaj   +1 more source

A link between Kendall’s τ, the length measure and the surface of bivariate copulas, and a consequence to copulas with self-similar support

Dependence Modeling, 2023
Working with shuffles, we establish a close link between Kendall’s τ\tau , the so-called length measure, and the surface area of bivariate copulas and derive some consequences.
Sánchez Juan Fernández, Trutschnig Wolfgang   +1 more
doaj   +1 more source

On discrete multivariate distributions symmetric in frequencies

Gaussian hypergeometric function, multivariate discrete distributions, zonal polynomials, medical data, 60E05, 62H12,
A. Sáez, M. Olmo, A. Conde, J. Rodríguez   +3 more
core   +1 more source

Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case

Dependence Modeling, 2019
Two simulation algorithms for hierarchical Archimedean copulas in the case when intra-group generators are not necessarily completely monotone are presented. Both generalize existing algorithms for the completely monotone case.
Mai Jan-Frederik
doaj   +1 more source

Sine-skewed circular distributions

Circular statistics, Finite mixtures, Jones–Pewsey family, Likelihood-based inference, Modality, Trigonometric moments, 60E05, 62H11,
Arthur Pewsey, Toshihiro Abe
core   +1 more source