Evaluating Aortic Stenosis using the Archimedean copula methodology
, 2020 : In modeling and analyzing multivariate data, the conventionally used measure of dependence structure is the Pearson's correlation coefficient. However use of the correlation as a dependence measure has several pitfalls.
Mohamed M Shoukri, Pranesh Kumar
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Copula-based testing for dependence structures.. [PDF]
This thesis describes tests for specific dependence structures between two random variables, in particular: quadrant dependence, tail monotonicity and stochastic monotonicity.
Sznajder, Dominik
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Estimating and evaluating the Archimedean-copula-based models in financial risk management : a dissertation submitted in fulfillment of the requirements for the degree of Doctor of Philosophy in Financial Economics, Massey University, Auckland, New Zealand [PDF]
, 2008 Copula is used to model multivariate data, as it accounts for the dependence structure and provides a flexible representation of the multivariate distribution.
Xu, Qing
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Asymmetric multivariate archimedean copula models and semi-competing risks data analysis
, 2021 Many multivariate models have been proposed and developed to model high dimensional data when the dimension of a data set is greater than 2 (d ≥ 3). The existing multivariate models often force the “exchangeable” structure for part or the whole model ...
Guo, Ziyan
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A note on allocation of portfolio shares of random assets with Archimedean copula
, 2014 National Natural Science Foundation of China [11171278]This paper further studies the single-period portfolio allocation of risk assets under the assumption that random returns having increasing utility and Archimedean copula.
You, Yinping, 李效虎, Li, Xiaohu
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A new one parameter family of Archimedean copula and its extensions / Azam Pirmoradian [PDF]
, 2013 In order to characterize the dependence of extreme risk, the concept of tail dependence for bivariate distribution functions was introduced. The Gaussian copula, for example, does not have upper or lower tail dependence - it shows asymptotic independence
Pirmoradian, Azam
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Hierarchical Archimedean Copulae
, 2012 This paper aims at explanation of the R-package HAC, which provides user friendly methods for dealing with high-dimensional hierarchical Archimedean copulae (HAC). A computationally eficient estimation procedure allows to recover the structure and the parameters of HACs from data.
Okhrin, Ostap, Ristig, Alexander
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Inference for overparametrized hierarchical Archimedean copulas
Journal of Multivariate AnalysisHierarchical Archimedean copulas (HACs) are multivariate uniform distributions constructed by nesting Archimedean copulas into one another, and provide a flexible approach to modeling non-exchangeable data. However, this flexibility in the model structure may lead to over-fitting when the model estimation procedure is not performed properly.
Samuel Perreault +3 more
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Some properties of the Kendall distribution in bivariate Archimedean copula models under censoring
Suppose that (T1,T2) can be modelled by an Archimedean copula model and it is subject to dependent or independent right censoring. In this paper, we present some distributional results for the random variable V=S(T1,T2) under different censoring patterns
Oakes, David, Wang, Antai
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, 2017 Flood is known as one of the most devastating natural hazards which cause great damages to human societies, municipal, industrial and agricultural centers. Flood estimation in confluence points of rivers– for being the location for many infrastructures –
Sanaz Zeraati, Mohammad Zounemat-Kermani
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