Results 31 to 40 of about 927 (219)
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.
openaire +2 more sources
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
doaj +1 more source
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
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 ...
Arthur Charpentier, Johan Segers
openaire +4 more sources
ARCHIMEDEAN COPULAS AND TEMPORAL DEPENDENCE [PDF]
Econometric Theory, 2012 We study the dependence properties of stationary Markov chains generated by Archimedean copulas. Under some simple regularity conditions, we show that regular variation of the Archimedean generator at zero and one implies geometric ergodicity of the associated Markov chain.
openaire +3 more sources
Extensions of Two Bivariate Strict Archimedean Copulas
Computational Journal of Mathematical and Statistical Sciences, 2023 The copula approach provides an option for capturing the structure of dependence between two quantitative variables. This approach is based on special bivariate functions called copulas.
Christophe Chesneau
doaj +1 more source
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 +2 more
doaj +1 more source
The analysis of semi‐competing risks data using Archimedean copula models
, 2023 In this paper, we derive the copula-graphic estimator (Zheng and Klein) for marginal survival functions using Archimedean copula models based on competing risks data subject to univariate right censoring and prove its uniform consistency and asymptotic ...
Yilong Zhang +7 more
core +1 more source
From Archimedean to Liouville copulas
Journal of Multivariate Analysis, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Alexander J. McNeil, Johanna Neslehová
openaire +2 more sources