Results 91 to 100 of about 33,492 (216)
Exact simulation of reciprocal Archimedean copulas [PDF]
Statistics & Probability Letters, 2018 The decreasing enumeration of the points of a Poisson random measure whose mean measure has finite survival function on the positive half-axis can be represented as a non-increasing function of the jump times of a standard Poisson process. This observation allows to generalize the essential idea from a well-known exact simulation algorithm for ...
openaire +2 more sources
General Multivariate Dependence using Associated Copulas
Revstat Statistical Journal, 2016 This paper studies the general multivariate dependence and tail dependence of a random vector. We analyse the dependence of variables going up or down, covering the 2 d orthants of dimension d and accounting for non-positive dependence.
Yuri Salazar Flores
doaj +1 more source
Asymptotic properties of the Bernstein density copula for dependent data [PDF]
Copulas are extensively used for dependence modeling. In many cases the data does not reveal how the dependence can be modeled using a particular parametric copula. Nonparametric copulas do not share this problem since they are entirely data based.
ROMBOUTS, Jeroen V.K. +2 more
core
Inference in multivariate Archimedean copula models
Archimedean copula, Consistency, Frailty, Kendall distribution, Probability integral transform, Radial distribution, Simplex distribution, Weak convergence, 62G05, 62G20, 62H12, 62H20,
Johanna Nešlehová +2 more
core +1 more source
Archimedean Copulas-Based Estimation under One-Parameter Distributions in Coherent Systems
MathematicsIn the present work we provide a signature-based framework for delivering the estimated mean lifetime along with the variance of the continuous distribution of a coherent system consisting of exchangeable components.
Ioannis S. Triantafyllou
doaj +1 more source
Copulas in finance and insurance [PDF]
Copulas provide a potential useful modeling tool to represent the dependence structure among variables and to generate joint distributions by combining given marginal distributions. Simulations play a relevant role in finance and insurance. They are used
Elisa M. Molanes, Rosario Romera
core
Copula models in machine learning [PDF]
, 2015 The introduction of copulas, which allow separating the dependence structure of a multivariate distribution from its marginal behaviour, was a major advance in dependence modelling.
Rey, Mélanie
core +1 more source
Copula–entropy theory for multivariate stochastic modeling in water engineering
Geoscience Letters, 2018 The copula–entropy theory combines the entropy theory and the copula theory. The entropy theory has been extensively applied to derive the most probable univariate distribution subject to specified constraints by applying the principle of maximum entropy.
Vijay P. Singh, Lan Zhang
doaj +1 more source
Archimedean copula and contagion modeling in epidemiology
Networks & Heterogeneous Media, 2013 The aim of this paper is first to find interactions between compartments of hosts in the Ross-Macdonald Malaria transmission system. So, to make clearer this association we introduce the concordance measure and then the Kendall's tau and Spearman's rho.
Jacques Demongeot +4 more
openaire +2 more sources
A Bayesian copula model for stochastic claims reserving [PDF]
We present a full Bayesian model for assessing the reserve requirement of multiline Non-Life insurance companies. Bayesian models for claims reserving allow to account for expert knowledge in the evaluation of Outstanding Loss Liabilities, allowing the ...
Luca Regis
core