Results 31 to 40 of about 4,366 (211)

Deep Archimedean Copulas

, 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.
Ling, Chun Kai, Fang, Fei, Kolter, J. Zico   +2 more
openaire   +2 more sources

Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family

Dependence Modeling, 2018
The family of Clayton copulas is one of the most widely used Archimedean copulas for dependency measurement. A major drawback of this copula is that when it accounts for negative dependence, the copula is nonstrict and its support is dependent on the ...
Cooray Kahadawala
doaj   +1 more source

Stochastic Comparisons of Extreme Order Statistics in the Heterogeneous Exponentiated Scale Model [PDF]

Journal of Statistical Theory and Applications (JSTA), 2017
The effect of heterogeneity on order statistics has attracted much attention in recent decades. In this paper, first, we discuss stochastic comparisons of extreme order statistics from independent heterogeneous exponentiated scale samples.
Esmaeil Bashkar, Hamzeh Torabi, Rasool Roozegar   +2 more
doaj   +1 more source

Modelling stochastic bivariate mortality [PDF]

, 2006
Stochastic mortality, i.e. modelling death arrival via a jump process with stochastic intensity, is gaining increasing reputation as a way to represent mortality risk.
A J G Cairns, A K Manatunga, A Shemyakin, C Genest, C Genest, C Genest, D Duue, D Duue, D Duue, D F Schrager, D G Clayton, D Lando, D Lando, D M Dabrowska, D Oakes, D Oakes, E Biis, E Luciano, E W Frees, Elena Vigna, Elisa Luciano, H Youn, H Youn, J E Anderson, J F Carriere, J Spreeuw, Jaap Spreeuw, M A Milevsky, M Dahl, M Denuit, M Denuit, P Artzner, P Br Emaud, P Hougaard, R B Nelsen, U Cherubini, W Wang   +36 more
core   +1 more source

VALUE AT RISK ESTIMATION FOR STOCK PORTFOLIO USING THE ARCHIMEDEAN COPULA APPROACH

Barekeng
Investment 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, Umu Sa'adah, Kwardiniya Andawaningtyas, Endang Wahyu Handamari   +3 more
doaj   +1 more source

On an asymmetric extension of multivariate Archimedean copulas based on quadratic form

Dependence Modeling, 2016
An important topic in Quantitative Risk Management concerns the modeling of dependence among risk sources and in this regard Archimedean copulas appear to be very useful.
Di Bernardino Elena, Rullière Didier
doaj   +1 more source

Distorted Copulas: Constructions and Tail Dependence [PDF]

, 2010
Given a copula C, we examine under which conditions on an order isomorphism ψ of [0, 1] the distortion C ψ: [0, 1]2 → [0, 1], C ψ(x, y) = ψ{C[ψ−1(x), ψ−1(y)]} is again a copula.
Avérous J., Bassan B., Chan W., Charpentier A., Denneberg D., Durante F., Fabrizio Durante, Frees E. W., Hardy G. H., Joe H., Klement E. P., Klement E. P., Lai C.-D., Marshall A. W., McNeil A. J., Müller A., Nelsen R. B., Peter Sarkoci, Rachele Foschi, Salvadori G., Schweizer B.   +20 more
core   +2 more sources

Some New Bivariate Properties and Characterizations Under Archimedean Copula

Mathematics
This 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   +1 more source

ESTIMASI NILAI VaR PORTOFOLIO MENGGUNAKAN FUNGSI ARCHIMEDEAN COPULA

E-Jurnal Matematika, 2017
Value at Risk explains the magnitude of the worst losses occurred in financial products investments with a certain level of confidence and time interval. The purpose of this study is to estimate the VaR of portfolio using Archimedean Copula family.
AULIA ATIKA PRAWIBTA SUHARTO, KOMANG DHARMAWAN, I WAYAN SUMARJAYA   +2 more
doaj   +1 more source

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 ...
Charpentier, Arthur, Segers, Johan
openaire   +4 more sources