Results 61 to 70 of about 299 (140)
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 +1 more
doaj +1 more source
Estimation of P{X < Y} for gamma exponential model
, 2014 : In this paper, we estimate probability P { X < Y } when X and Y are two independent random variables from gamma and exponential distribution, respectively. We obtain maximum likelihood estimator and its asymptotic distribution.
Milan Jovanović, V. Rajić
semanticscholar +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
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
Convergence rate of extremes from Maxwell sample
, 2013 For the partial maximum from a sequence of independent and identically distributed random variables with Maxwell distribution, we establish the uniform convergence rate of its distribution to the extreme value distribution.MSC:62E20, 60E05, 60F15, 60G15.
Chuandi Liu, Baogen Liu
semanticscholar +1 more source
On Conditional Value at Risk (CoVaR) for tail-dependent copulas
Dependence Modeling, 2017 The paper deals with Conditional Value at Risk (CoVaR) for copulas with nontrivial tail dependence. We show that both in the standard and the modified settings, the tail dependence function determines the limiting properties of CoVaR as the conditioning ...
Jaworski Piotr
doaj +1 more source
On a Generalized Raised Cosine Distribution: Some Properties, Characterizations and Applications
Moroccan Journal of Pure and Applied Analysis, 2019 In this paper, we introduced a generalization of the raised cosine distribution. We also provided its several distributional properties and characterizations, including percentiles and some applications.
Ahsanullah M. +2 more
doaj +1 more source
Regresión Lineal con Errores no Normales: Secante Hiperbólica Generalizada
Ingeniería y Ciencia, 2015 En este trabajo se presenta un estudio del modelo de regresión lineal del tipo y = Θx+e, donde el error tiene distribución Secante Hiperbólica Generalizada (SHG).
Álvaro Alexander Burbano Moreno +1 more
doaj +1 more source
Ingeniería y Ciencia, 2013 Diversas distribuciones generalizadas se desarrollan en la literatura estadística, entre ellas se encuentra la distribución Secante Hiperbólica Generalizada (SHG).
Luis Alejandro Másmela Caita +1 more
doaj +1 more source
Arab Journal of Mathematical Sciences, 2019 We give several new characterizations of completely monotone functions and Bernstein functions via two approaches: the first one is driven algebraically via elementary preserving mappings and the second one is developed in terms of the behavior of their ...
Rafik Aguech, Wissem Jedidi
doaj +1 more source