Results 121 to 130 of about 33,492 (216)

On the Ratio-Type Family of Copulas

Mathematics
Investigating dependence structures across various fields holds paramount importance. Consequently, the creation of new copula families plays a crucial role in developing more flexible stochastic models that address the limitations of traditional and ...
Farid El Ktaibi, Rachid Bentoumi, Mhamed Mesfioui   +2 more
doaj   +1 more source

Inference for overparametrized hierarchical Archimedean copulas

Journal of Multivariate Analysis
Hierarchical 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, Yanbo Tang, Ruyi Pan, Nancy Reid   +3 more
openaire   +3 more sources

Some Archimedean Copulas On Producer Price Index And Consumer Price Index: A Case Of Turkey - Bazi Arşimedyen Kapulalar: Üfe Ve Tüfe İçin Türkiye Uygulamasi

Mehmet Akif Ersoy Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 2016
In this paper, copula approach was applied to determine the dependence structure the two indices (PPI and CPI). Ali ? Mikhail ? Haq, Clayton, Frank and Gumbel ? Hougaard from Archimedean family were used.
Ayça Büyükyılmaz
doaj  

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
openaire   +1 more source

MODELLING RANDOM COUPLES USING COPULAS MODELADO DE PAREJAS ALEATORIAS USANDO CÓPULAS

Revista Colombiana de Estadística, 2009
Copulas have become a useful tool for the multivariate modelling in both stochastics and statistics. In this article, fundamental properties that allow the characterization of the dependence structure of families of the bivariate distributions defined by
Escarela Gabriel, Hernández Angélica
doaj  

PENGGUNAAN COPULA ARCHIMEDEAN UNTUK PEMODELAN SEVERITY DAN FREKUENSI KLAIM ANTAR PERIODE PADA ASURANSI KENDARAAN BERMOTOR

, 2015
Bivariate Archimedean Copula to modeling dependence between severity and frequency claims that have different marginal. Generalized Linear Model (GLM) was used as marginal model for the severity and frequency claims.
YUSUF, FEBY INDRIANA
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Modelado de parejas aleatorias usando cópulas Modelling Random Couples Using Copulas

Revista Colombiana de Estadística, 2009
Las cópulas se han convertido en una herramienta útil para el modelado multivariado tanto estocástico como estadístico. En este artículo se revisan propiedades fundamentales de las cópulas que permitan caracterizar la estructura de dependencia de ...
GABRIEL ESCARELA, ANGÉLICA HERNÁNDEZ
doaj  

Can crop yield risk be globally diversified? [PDF]

In 2007 and 2008 world food markets observed a significant price boom. Crop failures simultaneously occurring in some of the world’s major production regions have been quoted as one factor among others for the price boom.
Wei Xu, Martin Odening, Xiaoliang Liu
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A Topological Proof of the Archimedean Axiom for Archimedean Copulas

Archimedean copulas are a popular type of copulas in which a variant of the Archimedean axiom apply. We provide a topological proof of the Archimedean Axiom which is applicable for non-continuous distribution functions.
openaire   +2 more sources

CDO and HAC [PDF]

Modelling portfolio credit risk is one of the crucial challenges faced by financial services industry in the last few years. We propose the valuation model of collateralized debt obligations (CDO) based on copula functions with up to three parameters ...
Barbara Choroś, Wolfgang Härdle, Ostap Okhrin   +2 more
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