Results 91 to 100 of about 4,426 (211)
On approximating copulas by finite mixtures
, 2018 Copulas are now frequently used to approximate or estimate multivariate distributions because of their ability to take into account the multivariate dependence of the variables while controlling the approximation properties of the marginal densities ...
Khaled, Mohamad A., Kohn, Robert
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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
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Nested Archimedean Copulas Meet R: The nacopula Package [PDF]
The package nacopula provides procedures for constructing nested Archimedean copulas in any dimensions and with any kind of nesting structure, generating vectors of random variates from the constructed objects, computing function values and probabilities
Marius Hofert, Martin Maechler
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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
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From Archimedean to Liouville copulas
Journal of Multivariate Analysis, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
McNeil, Alexander J. +1 more
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The Realized Hierarchical Archimedean Copula in Risk Modelling
Econometrics, 2017 This paper introduces the concept of the realized hierarchical Archimedean copula (rHAC). The proposed approach inherits the ability of the copula to capture the dependencies among financial time series, and combines it with additional information ...
Ostap Okhrin, Anastasija Tetereva
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Open Mathematics, 2017 Our goal is to state and prove the almost sure central limit theorem for maxima (Mn) of X1, X2, ..., Xn, n ∈ ℕ, where (Xi) forms a stochastic process of identically distributed r.v.’s of the continuous type, such that, for any fixed n, the family of r.v.’
Dudziński Marcin, Furmańczyk Konrad
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Nonlinear Analysis, 2017 We provide two upper bounds on the Clayton copula Cθ(u1,...,un) if θ > 0 and n ≥ 2 and a lower bound in the case θ ∈ [-1,0) and n ≥ 2. The obtained bounds provide a nice probabilistic interpretation related to some negative dependence structures and also
Martynas Manstavičius, Remigijus Leipus
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Likelihood inference for Archimedean copulas
, 2011 Explicit functional forms for the generator derivatives of well-known one-parameter Archimedean copulas are derived. These derivatives are essential for likelihood inference as they appear in the copula density, conditional distribution functions, or the Kendall distribution function.
Hofert, Marius +2 more
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Nested Archimedean copulas: a new class of nonparametric tree structure estimators
, 2014 Any nested Archimedean copula is defined starting from a rooted phylogenetic tree, for which a new class of nonparametric estimators is presented. An estimator from this new class relies on a two-step procedure where first a binary tree is built and ...
Uyttendaele, Nathan
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