Results 21 to 30 of about 32,199 (223)
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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Local Dependence for Bivariate Weibull Distributions Created by Archimedean Copula
مجلة بغداد للعلوم, 2021 In multivariate survival analysis, estimating the multivariate distribution functions and then measuring the association between survival times are of great interest.
Swar O. Ahmed +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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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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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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Journal of Hydrology: Regional Studies, 2016 Study region: Narew River in Northeastern Poland. Study focus: Three methods for frequency analysis of snowmelt floods were compared. Two dimensional (2D) normal distribution and copula-based 2D probability distributions were applied to statistically ...
Bogdan Ozga-Zielinski +4 more
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PERHITUNGAN VALUE AT RISK PORTOFOLIO PADA FUNGSI ARCHIMEDEAN COPULA [PDF]
, 2021 Value at Risk (VaR) merupakan salah satu alat ukur yang digunakan untuk menghitung risiko pada portofolio. Akan tetapi VaR memiliki asumsi distribusi normalitas.
Lusia, Nona +2 more
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