Results 51 to 60 of about 97 (72)
Dependence Modeling, 2021 As a motivating problem, we aim to study some special aspects of the marginal distributions of the order statistics for exchangeable and (more generally) for minimally stable non-negative random variables T1, ..., Tr. In any case, we assume that T1, ...,
Foschi Rachele +2 more
doaj +1 more source
A sharp inequality for Kendall’s τ and Spearman’s ρ of Extreme-Value Copulas
Dependence Modeling, 2018 We derive a new (lower) inequality between Kendall’s τ and Spearman’s ρ for two-dimensional Extreme-Value Copulas, show that this inequality is sharp in each point and conclude that the comonotonic and the product copula are the only Extreme-Value ...
Trutschnig Wolfgang, Mroz Thomas
doaj +1 more source
The deFinetti representation of generalised Marshall–Olkin sequences
Dependence Modeling, 2020 We show that each infinite exchangeable sequence τ1, τ2, . . . of random variables of the generalised Marshall–Olkin kind can be uniquely linked to an additive subordinator via its deFinetti representation. This is useful for simulation, model estimation,
Sloot Henrik
doaj +1 more source
Transformation of a copula using the associated co-copula
Dependence Modeling, 2018 We investigate the properties of a new transformation of copulas based on the co-copula and an univariate function. It is shown that several families in the copula literature can be interpreted as particular outputs of this transformation.
Girard Stéphane
doaj +1 more source
On quantile based co-risk measures and their estimation
Dependence Modeling, 2020 Conditional Value-at-Risk (CoVaR) is defined as the Value-at-Risk of a certain risk given that the related risk equals a given threshold (CoVaR=) or is smaller/larger than a given threshold ...
Fuchs Sebastian, Trutschnig Wolfgang
doaj +1 more source
On Complex Matrix-Variate Dirichlet Averages and Its Applications in Various Sub-Domains. [PDF]
Entropy (Basel), 2023 Thankamani P, Sebastian N, Haubold HJ.
europepmc +1 more source
Dependent defaults and losses with factor copula models
Dependence Modeling, 2017 We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with paircopula constructions, and nest many standard ...
Ackerer Damien, Vatter Thibault
doaj +1 more source
Testing conditional multivariate rank correlations: the effect of institutional quality on factors influencing competitiveness. [PDF]
Test (Madr), 2022 Ascorbebeitia J, Ferreira E, Orbe S.
europepmc +1 more source
Dependence measure for length-biased survival data using copulas
Dependence Modeling, 2019 The linear correlation coefficient of Bravais-Pearson is considered a powerful indicator when the dependency relationship is linear and the error variate is normally distributed.
Bentoumi Rachid +2 more
doaj +1 more source