Results 101 to 110 of about 927 (219)
Dynamic dependence ordering for Archimedean copulas and distorted copulas
Kybernetika, 2008 This paper proposes a general framework to compare the strength of the dependence in survival models, as time changes, i.e. given remaining lifetimes , to compare the dependence of given >t, and given >s, where s>t. More precisely, analytical results will be obtained in the case the survival copula of is either Archimedean or a distorted copula.
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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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ANALISIS HUBUNGAN PRODUKSI PADI DAN INDIKATOR ENSO DI KABUPATEN TABANAN DENGAN PENDEKATAN COPULA
E-Jurnal Matematika, 2016 Dependence relationship between two or more variables is an issue that is often studied in the science of probability and statistics. Pearson correlation is often the easiest option to measure dependencies between variables.
LUH GEDE UDAYANI +2 more
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Parametric estimation of conditional Archimedean copula generators for censored data
A novel framework is introduced for estimating Archimedean copula generators in a conditional setting by embedding endogenous variables directly within the generator function. Unlike standard copula constructions that rely on a fixed dependence structure
Pigeon, Mathieu +2 more
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Dependence and Order in Families of Archimedean Copulas
Journal of Multivariate Analysis, 1997 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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BarekengStocks are one of the most popular financial market instruments. On the other hand, stocks are an investment instrument that is widely chosen by investors because stocks are able to provide attractive profit levels.
Darwis Darwis +2 more
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, 2011 Value-at-Risk (VaR) is one of the most important tools used in modern financial risk management. The development of VaR estimation techniques is vibrant in recent decades.
Fan, Helan, Tian, Cheng, Lin, Yiqing
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Archimedean copula in the computation of value-at-risk : an application to Singapore stock market.
, 2010 The Value-at-Risk (VaR) is of central importance in modern financial risk management. Of the various methods that exist to compute the VaR, the most popular are historical simulation, the variance-covariance method.
Tan, Wei Qin. +3 more
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Bayesian Nonparametric Mixtures of Archimedean Copulas
Journal of Agricultural, Biological and Environmental StatisticsCopula-based dependence modeling often relies on parametric formulations. This is mathematically convenient, but can be statistically inefficient when the parametric families are not suitable for the data and model in focus. A Bayesian nonparametric mixture of Archimedean copulas is introduced to increase the flexibility of copula-based dependence ...
Pan, Ruyi +2 more
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Reliability analysis of parallel systems with dependent components and Archimedean copulas
Journal of Inequalities and ApplicationsIn this paper, preservation properties of reversed hazard rate order and a relative overall reversed hazard rate order under the structure of a parallel system with dependent components having lifetimes coupled by an Archimedean copula are established ...
Mashael A. Alshehri
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