Results 101 to 110 of about 32,199 (223)
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
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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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Copula bivariate probit models: with an application to medical expenditures [PDF]
The bivariate probit model is frequently used for estimating the effect of an endogenous binary regressor (the "treatment") on a binary health outcome variable.
Rainer Winkelmann
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False discovery rate control under Archimedean Copula [PDF]
, 2013 We are considered 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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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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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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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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Systemic Weather Risk and Crop Insurance: The Case of China [PDF]
The supply of affordable crop insurance is hampered by the existence of systemic weather risk which results in large risk premiums. In this article, we assess the systemic nature of weather risk for 17 agricultural production regions in China and explore
Wei Xu +3 more
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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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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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