Results 111 to 120 of about 33,492 (216)

Reliability analysis of parallel systems with dependent components and Archimedean copulas

Journal of Inequalities and Applications
In 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
doaj   +1 more source

Bayesian Nonparametric Mixtures of Archimedean Copulas

Journal of Agricultural, Biological and Environmental Statistics
Copula-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, Nieto-Barajas, Luis E., Craiu, Radu V.   +2 more
openaire   +2 more sources

An Archimedean Copula Family with Hyperbolic Cotangent Generator

, 2014
Hyperbolic cotangent function is proposed as a generator of new Archimedean copula family and several properties are revealed. To show performance in real data analysis, application to modeling dependence between monthly temperature extremes as well as ...
Najjari, Vadoud, Bacigal, Tomas, BAL, HASAN   +2 more
core   +1 more source

HMM in dynamic HAC models [PDF]

Understanding the dynamics of high dimensional non-normal dependency structure is a challenging task. This research aims at attacking this problem by building up a hidden Markov model (HMM) for Hierarchical Archimedean Copulae (HAC), where the HAC ...
Wolfgang Karl Härdle, Weining Wang, Ostap Okhrin   +2 more
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Method to choose a archimedean copula optimal

, 2012
Actualmente las Cópulas son una herramienta muy fuerte para el modelamiento de datos en los que la dependencia entre variables aleatorias es importante y el supuesto de normalidad no se tiene.
Moreno Chavarro, Diana Carolina
core  

Stochastic ordering results on extreme order statistics from dependent samples with Archimedean copula

Journal of Inequalities and Applications
This paper considers parallel and series systems with heterogeneous components having dependent exponential lifetimes. The underlying dependence is assumed to be Archimedean and the component lifetimes are supposed to be connected according to an ...
Mansour Shrahili
doaj   +1 more source

Fitting high-dimensional Copulae to Data [PDF]

This paper make an overview of the copula theory from a practical side. We consider different methods of copula estimation and different Goodness-of-Fit tests for model selection.
Ostap Okhrin
core  

On A New Bivariate One Parameter Archimedean Copula Function and Its Application to Modeling Dependence in Climate and Life Sciences

, 2019
Copulas provide models to describe the dependence structure between two or more random variables. This study focuses on a special class of copulas namely Archimedean copulas which have some nice mathematical properties.
Kumar, Pranesh, Guloksuz, Cigdem Topcu
core   +1 more source

Modeling the Dependency Structure of Stock Index Returns using a Copula Function Approach [PDF]

In the present study we assess the dependency structure between stock indexes by econometrically estimating the empirical copula function and the parameters of various parametric copula functions.
Necula, Ciprian
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Dynamic stochastic copula models: Estimation, inference and applications [PDF]

We propose a new dynamic copula model where the parameter characterizing dependence follows an autoregressive process. As this model class includes the Gaussian copula with stochastic correlation process, it can be viewed as a generalization of ...
Hafner, Christian M., Manner, Hans
core