Results 11 to 20 of about 33,492 (216)
Convergence of Archimedean copulas [PDF]
Statistics & Probability Letters, 2006 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Charpentier, Arthur, Segers, Johan
core +8 more sources
Some New Bivariate Properties and Characterizations Under Archimedean Copula
MathematicsThis paper considers comparing properties and characterizations of the bivariate functions under Archimedean copula. It is shown that some results of the usual stochastic order for the bivariate functions in the independent case are generalized to the ...
Qingyuan Guan, Peihua Jiang, Guangyu Liu
doaj +2 more sources
VALUE AT RISK ESTIMATION FOR STOCK PORTFOLIO USING THE ARCHIMEDEAN COPULA APPROACH [PDF]
BarekengInvestment is one of the many ways to achieve future profits. One form of investment that is widely made is stocks. The return obtained in investing in stocks is potentially higher than other investment alternatives, but the risks borne are amplified, so
Mohammad Dicky Saifullah +3 more
doaj +2 more sources
Spline approximations to conditional Archimedean copula [PDF]
Stat, 2014 We propose a flexible copula model to describe changes with a covariate in the dependence structure of (conditionally exchangeable) random variables. The starting point is a spline approximation to the generator of an Archimedean copula. Changes in the dependence structure with a covariate x are modelled by flexible regression of the spline ...
Lambert, Philippe, Philippe Lambert
openaire +7 more sources
A Generalization of the Archimedean Class of Bivariate Copulas [PDF]
Annals of the Institute of Statistical Mathematics, 2006 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
DURANTE, FABRIZIO +2 more
openaire +4 more sources
Penalized estimation of hierarchical Archimedean copula [PDF]
Journal of Multivariate AnalysiszbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ostap Okhrin, Alexander Ristig
openaire +4 more sources
Archimedean Copula Estimation Parameter with Kendall Distribution Function
Cumhuriyet Science Journal, 2017 In the literature, up to now, it is common thatfor Gumbel, Clayton and Frank calculated Kendall Distribution function and to the extent those applications havebeen made.
Ayşe Metın Karakas +2 more
doaj +2 more sources
Convergence of Archimedean Copulas
Freakonometrics, 2008 The paper on Convergence of Archimedean Copulas, with Johan Segers, just appeared, in Statistics and Probability Letters. Convergence of a sequence of bivariate Archimedean copulas to another Archimedean copula or to the comonotone copula is shown to be ...
Arthur Charpentier
openaire +2 more sources
Copulas for Covariate Simulation in Pharmacometrics. [PDF]
CPT Pharmacometrics Syst PharmacolABSTRACT Patient‐specific covariates are commonly incorporated in pharmacometric and quantitative system pharmacology models to predict differences in pharmacokinetic or pharmacodynamic profiles between patients. When simulating new virtual populations of patients, generating realistic covariate sets that accurately reflect the correlation structures ...
Guo Y, Guo T, van Hasselt JGC, Zwep LB.
europepmc +2 more sources
When There's No November Rain: Developing a Parametric Insurance for Hydroelectric Energy Generators in Brazil. [PDF]
Risk AnalABSTRACT Hydrological risk is a growing challenge for renewable power systems, as droughts reduce generation, increase costs, and expose gaps in risk‐transfer mechanisms. We examine this problem in Brazil, home to the world's sixth‐largest electricity system and highly dependent on hydroelectricity, which accounted for 43% of installed generation ...
Fonseca NC +3 more
europepmc +2 more sources