Results 91 to 100 of about 927 (219)
A test for Archimedeanity in bivariate copula models
Journal of Multivariate Analysis, 2012 18 pages, 2 ...
Axel Bücher +2 more
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, 2010 Bu tezde ısıgın bir yüzey üzerine düserek yansımasının copula dagılımları kullanılarak modellenmesi üzerinde çalısılmıstır. Çalısma Archimedean copula ailesinden Frank, Clayton ve Gumbel modelleri kullanılarak yapılmıstır.
Ersan, Esra
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False Discovery Rate Control under Archimedean Copula
, 2014 We are concerned with the false discovery rate (FDR) of the linear step-up test φLSU considered by Benjamini and Hochberg (1995). It is well known that φLSU controls the FDR at level m0q/m if the joint distribution of p-values is multivariate totally ...
Bodnar, Taras, Dickhaus, Thorsten
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, 2021 Statisticians are frequently confronted with highly complex data such as clustered data, missing data or censored data. In this manuscript, we consider hierarchically clustered survival data.
HASAN, Mirza Nazmul, BRAEKERS, Roel
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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
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Correlation smile matching for collateralized debt obligation tranches with α-stable distributions and fitted Archimedean copula models [PDF]
, 2011 As an extension of the standard Gaussian copula model to price collateralized debt obligation (CDO) tranche swaps we present a generalization of a one-factor copula model based on stable distributions.
Wolfgang Scherer +3 more
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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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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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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
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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 ...
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