Results 21 to 30 of about 447 (86)
New copulas based on general partitions-of-unity and their applications to risk management (part II)
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 +1 more source
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
Dependence of Stock Returns in Bull and Bear Markets
Dependence Modeling, 2013 Despite of its many shortcomings, Pearson’s rho is often used as an association measure for stock returns. A conditional version of Spearman’s rho is suggested as an alternative measure of association. This approach is purely nonparametric and avoids any
Dobric Jadran +2 more
doaj +1 more source
Star graphs induce tetrad correlations: for Gaussian as well as for binary variables [PDF]
, 2014 Tetrad correlations were obtained historically for Gaussian distributions when tasks are designed to measure an ability or attitude so that a single unobserved variable may generate the observed, linearly increasing dependences among the tasks.
Marchetti, Giovanni M., Wermuth, Nanny
core +2 more sources
A topological proof of Sklar’s theorem in arbitrary dimensions
Dependence Modeling, 2022 Copulas are appealing tools in multivariate probability theory and statistics. Nevertheless, the transfer of this concept to infinite dimensions entails some nontrivial topological and functional analytic issues, making a deeper theoretical understanding
Benth Fred Espen +2 more
doaj +1 more source
A nonparametric test for comparing survival functions based on restricted distance correlation
Dependence Modeling, 2023 In this article, we propose an omnibus test for comparing two survival functions under non-proportional hazards. The test statistic is based on a product-limit estimate of the restricted distance correlation, which is closely related to the L2{L}_{2 ...
Zhang Qingyang
doaj +1 more source
Polynomial bivariate copulas of degree five: characterization and some particular inequalities
Dependence Modeling, 2021 Bivariate polynomial copulas of degree 5 (containing the family of Eyraud-Farlie-Gumbel-Morgenstern copulas) are in a one-to-one correspondence to certain real parameter triplets (a, b, c), i.e., to some set of polynomials in two variables of degree 1: p(
Šeliga Adam +5 more
doaj +1 more source
Multivariate data analysis: The French way
, 2008 This paper presents exploratory techniques for multivariate data, many of them well known to French statisticians and ecologists, but few well understood in North American culture.
Holmes, Susan
core +1 more source
A Central Limit Theorem for non-overlapping return times
, 2005 Define the non-overlapping return time of a random process to be the number of blocks that we wait before a particular block reappears. We prove a Central Limit Theorem based on these return times.
Johnson, Oliver
core +1 more source
Copula Relations in Compound Poisson Processes [PDF]
, 2014 We investigate in multidimensional compound Poisson processes (CPP) the relation between the dependence structure of the jump distribution and the dependence structure of the respective components of the CPP itself.
Palmes, Christian
core