Results 21 to 30 of about 33,492 (216)
Generative Archimedean Copulas
CoRR, 2021 We propose a new generative modeling technique for learning multidimensional cumulative distribution functions (CDFs) in the form of copulas. Specifically, we consider certain classes of copulas known as Archimedean and hierarchical Archimedean copulas, popular for their parsimonious representation and ability to model different tail dependencies.
Yuting Ng +3 more
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CoRR, 2020 A central problem in machine learning and statistics is to model joint densities of random variables from data. Copulas are joint cumulative distribution functions with uniform marginal distributions and are used to capture interdependencies in isolation from marginals.
Chun Kai Ling +2 more
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Archimedean copulae and positive dependence [PDF]
Journal of Multivariate Analysis, 2005 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
MUELLER A, SCARSINI, MARCO
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Mathematics, 2023 In this paper, we consider parallel-series and series-parallel systems comprising dependent components that are drawn from a heterogeneous population consisting of m different subpopulations, and each subsystem is equipped with a starter device.
Narayanaswamy Balakrishnan +3 more
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International Journal of Statistics and Probability, 2021 The copula function is an effective and elegant tool useful for modeling dependence between random variables. Among the many families of this function, one of the most prominent family of copula is the Archimedean family, which has its unique structure and features.
Moshe Kelner +2 more
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The Copula Derived from the SAHARA Utility Function
Risks, 2022 A new Archimedean copula family is presented that was derived from the SAHARA utility function introduced in the economic literature in 2011. Its properties are discussed, and its flexibility and versatility are demonstrated.
Jaap Spreeuw
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Tails of multivariate Archimedean copulas
Journal of Multivariate Analysis, 2009 A complete and user-friendly directory of tails of Archimedean copulas is presented which can be used in the selection and construction of appropriate models with desired properties. The results are synthesized in the form of a decision tree: Given the values of some readily computable characteristics of the Archimedean generator, the upper and lower ...
Arthur Charpentier, Johan Segers
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Using Copulas to Model Dependence Between Crude Oil Prices of West Texas Intermediate and Brent-Europe [PDF]
Sahand Communications in Mathematical Analysis, 2020 In this study the main endeavor is to model dependence structure between crude oil prices of West Texas Intermediate (WTI) and Brent - Europe. The main activity is on concentrating copula technique which is powerful technique in modeling dependence ...
Vadoud Najjari
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Characterizations of Archimedean n-copulas [PDF]
Kybernetika, 2015 Summary: We present three characterizations of \(n\)-dimensional Archimedean copulas: algebraic, differential and diagonal. The first is due to Jouini and Clemen. We formulate it in a more general form, in terms of an \(n\)-variable operation derived from a binary operation.
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Pair-copula constructions of multiple dependence [PDF]
, 2006 Building on the work of Bedford, Cooke and Joe, we show how multivariate data, which exhibit complex patterns of dependence in the tails, can be modelled using a cascade of pair-copulae, acting on two variables at a time.
Aas, Kjersti +3 more
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