Results 51 to 60 of about 32,199 (223)
Goodness‐of‐Fit Tests for Positive Quadrant Dependence
International Statistical Review, EarlyView.Summary When two random variables are positive quadrant dependent (PQD), they are more likely to assume small (or large) values simultaneously compared with when the random variables are independent. This dependence structure is of interest in many areas, including finance, actuarial science and engineering.
Chuan‐Fa Tang, Joshua M. Tebbs
wiley +1 more source
Evolution of the Dependence of Residual Lifetimes [PDF]
, 2013 We investigate the dependence properties of a vector of residual lifetimes by means of the copula associated with the conditional distribution function.
Durante F +5 more
core +1 more source
Modelling cascading effects for systemic risk: Properties of the Freund copula
Dependence Modeling, 2019 We consider a dependent lifetime model for systemic risk, whose basic idea was for the first time presented by Freund. This model allows to model cascading effects of defaults for arbitrarily many economic agents.
Guzmics Sándor, Pflug Georg Ch.
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Advances in Meteorology, 2023 The univariate analysis of hydrological extremes is a well-established practice in developing countries such as Ethiopia. However, for the design of hydrological and hydraulic systems, it is essential to have a thorough understanding of flood event ...
Mesfin Mamo Haile +4 more
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Moving Aggregate Modified Autoregressive Copula‐Based Time Series Models (MAGMAR‐Copulas)
Journal of Time Series Analysis, EarlyView.ABSTRACT Copula‐based time series models can model univariate and stationary time series in a flexible way by decomposing the joint distribution of consecutive observations into a copula and the stationary distribution. Implicitly, this approach assumes a finite Markov order. In reality, a time series may not follow the Markov property.
Sven Pappert
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A two-component copula with links to insurance
Dependence Modeling, 2017 This paper presents a new copula to model dependencies between insurance entities, by considering how insurance entities are affected by both macro and micro factors.
Ismail S., Yu G., Reinert G., Maynard T.
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Land Degradation &Development, Volume 37, Issue 15, Page 10658-10671, September 2026.ABSTRACT Real‐time flood control operation of multi‐reservoir systems is affected by multiple sources of hydrological and operational uncertainties, which increase the complexity of risk propagation and decision‐making processes. Therefore, effective risk assessment and diagnosis are essential for supporting risk‐informed flood control operation.
Juan Chen +5 more
wiley +1 more source
Exploring Two Modified Ali-Mikhail-Haq Copulas and New Bivariate Logistic Distributions
Pan-American Journal of MathematicsThe Ali-Mikhail-Haq copula is a bivariate ratio-type Archimedean copula known for its simplicity and flexibility in modeling moderate negative and positive dependence structures, making it widely used in various fields.
Christophe Chesneau
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Archimedean Copula Estimation Parameter with Kendall Distribution Function
Cumhuriyet Science Journal, 2017 In the literature, up to now, it is common thatfor Gumbel, Clayton and Frank calculated Kendall Distribution function and to the extent those applications havebeen made.
Ayşe Metın Karakas +2 more
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Algorithms, 2020 In this paper, we develop a novel computation model of Intuitionistic Fuzzy Values with the usage of fuzzy negations and Archimedean copulas. This novel computation model’s structure is based on the extension of the existing operations of intuitionistic ...
Stylianos Giakoumakis +1 more
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