Results 41 to 50 of about 33,492 (216)
On generators in Archimedean copulas
Sahand Communications in Mathematical Analysis, 2017 Summary: This study, after reviewing construction methods of generators in Archimedean copulas (AC), proposes several useful lemmas related with generators of AC. Then a new trigonometric Archimedean family will be shown which is based on cotangent function. The generated new family is able to model the low dependence structures.
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Densities of nested Archimedean copulas
Journal of Multivariate Analysis, 2013 Nested Archimedean copulas recently gained interest since they generalize the well-known class of Archimedean copulas to allow for partial asymmetry. Sampling algorithms and strategies have been well investigated for nested Archimedean copulas. However, for likelihood based inference it is important to have the density. The present work fills this gap.
Marius Hofert, David Pham
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BarekengFluctuations in exchange rates and foreign stock indices strongly influence domestic stock performance, particularly in the banking sector, which is highly sensitive to global economic dynamics.
Alfi Khairiati +2 more
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Lorenz-generated bivariate Archimedean copulas
Dependence Modeling, 2019 Abstract A novel generating mechanism for non-strict bivariate Archimedean copulas via the Lorenz curve of a non-negative random variable is proposed. Lorenz curves have been extensively studied in economics and statistics to characterize wealth inequality and tail risk.
Fontanari, A. (author) +2 more
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Vine copula knockoffs for variable selection in gene expression studies
Canadian Journal of Statistics, EarlyView.Abstract Identifying clinical and genetic markers is essential for stratifying cancer patients by survival outcomes and guiding personalized treatment strategies. However, gene expression studies often involve high‐dimensional predictors with mixed data types and complex dependence, which complicates reliable variable selection.
José Ulises Márquez Urbina +3 more
wiley +1 more source
Construction and sampling of Archimedean and nested Archimedean Lévy copulas
Journal of Multivariate Analysis, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Oliver Grothe, Marius Hofert
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Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case
Dependence Modeling, 2019 Two simulation algorithms for hierarchical Archimedean copulas in the case when intra-group generators are not necessarily completely monotone are presented. Both generalize existing algorithms for the completely monotone case.
Mai Jan-Frederik
doaj +1 more source
International Journal of Climatology, EarlyView.The changes in joint return period of compound meteorological hot‐dry (CMHHE) and hot‐wet (CMHWE) and compound hydrological hot‐dry (CHHDE) and hot‐wet (CHHWE) extremes were attributed to changes in associated univariate extremes and their dependence.
Ruting Yang +6 more
wiley +1 more source
Managing Procurement Auction Failure: Bid Requirements or Reserve Prices?
The RAND Journal of Economics, EarlyView.ABSTRACT This paper examines bid requirements, where the government may cancel a procurement contract unless two or more bids are received. Using a first‐price auction model with endogenous entry, we compare the bid requirement and reserve price mechanisms in terms of auction failure and procurement costs.
Jun Ma, Vadim Marmer, Pai Xu
wiley +1 more source
Archimedean Copula, generator and association parameter.
, 2013 Archimedean Copula, generator and association parameter.
Junlin Liu (483138) +5 more
core +1 more source