Results 1 to 10 of about 117 (34)
New copulas based on general partitions-of-unity and their applications to risk management (part II) [PDF]
Dependence Modeling, 2017 We present a constructive and self-contained approach to data driven infinite partition-of-unity copulas that were recently introduced in the literature.
Pfeifer Dietmar +2 more
doaj +2 more sources
New copulas based on general partitions-of-unity (part III) — the continuous case [PDF]
Dependence Modeling, 2019 In this paper we discuss a natural extension of infinite discrete partition-of-unity copulas which were recently introduced in the literature to continuous partition of copulas with possible applications in risk management and other fields.
Pfeifer Dietmar +3 more
doaj +2 more sources
On Beta Exponentiated Lomax-Exponential Distribution with applications
Scientific African, 2023 This study introduces a new Beta Exponentiated Lomax-Exponential Distribution (BELED) with special reference to its quantile function to enhance closed form solution of its parameters and make its proprietorial effect on data modeling quantifiable with ...
A.T. Sóyínká
doaj +1 more source
Generating unfavourable VaR scenarios under Solvency II with patchwork copulas
Dependence Modeling, 2021 The central idea of the paper is to present a general simple patchwork construction principle for multivariate copulas that create unfavourable VaR (i.e. Value at Risk) scenarios while maintaining given marginal distributions.
Pfeifer Dietmar, Ragulina Olena
doaj +1 more source
Copula modeling for discrete random vectors
Dependence Modeling, 2020 Copulas have now become ubiquitous statistical tools for describing, analysing and modelling dependence between random variables. Sklar’s theorem, “the fundamental theorem of copulas”, makes a clear distinction between the continuous case and the ...
Geenens Gery
doaj +1 more source
Subsymmetry and asymmetry models for multiway square contingency tables with ordered categories
Open Mathematics, 2016 This paper suggests several models that describe the symmetry and asymmetry structure of each subdimension for the multiway square contingency table with ordered categories.
Aktaş Serpil
doaj +1 more source
Better to be in agreement than in bad company : A critical analysis of many kappa-like tests. [PDF]
Behav Res Methods, 2023 Silveira PSP, Siqueira JO.
europepmc +1 more source
Generating VaR scenarios with product beta distributions [PDF]
, 2018 We propose a Monte Carlo simulation method to generate stress tests by VaR scenarios under Solvency II for dependent risks on the basis of observed data.
Pfeifer, Dietmar, Ragulina, Olena
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La distància de l'eixample [PDF]
, 2002 Inspirándonos en el diseño del Ensanche de Barcelona de Ildefonso Cerdá, definimos una nueva distancia estadística, denominada la distancia del ensanche.
Greenacre, Michael
core +6 more sources
Gaussian approximation of Gaussian scale mixture [PDF]
, 2019 For a given positive random variable $V>0$ and a given $Z\sim N(0,1)$ independent of $V$, we compute the scalar $t_0$ such that the distance between $Z\sqrt{V}$ and $Z\sqrt{t_0}$ in the $L^2(\R)$ sense, is minimal.
Letac, Gérard, Massam, Hélène
core +2 more sources