Results 71 to 80 of about 4,366 (211)

Penerapan Metode GARCH-Vine Copula untuk Estimasi Value at Risk (VaR) pada Portofolio

Jurnal Fourier, 2018
Salah satu alat ukur yang digunakan untuk menghitung risiko portofolio adalah Value at Risk (VaR). Beberapa metode pengukuran VaR mengasumsikan return berdistribusi normal dan ukuran dependensi antar saham menggunakan korelasi linear.
Herida Okta Pintari, Retno Subekti
doaj   +1 more source

Modeling car‐following behaviors using a driving style–based Bayesian model averaging Copula framework in mixed traffic flow

Computer-Aided Civil and Infrastructure Engineering, Volume 40, Issue 21, Page 3316-3332, 29 August 2025.
Abstract As a fundamental driving behavior, the accurate modeling of car‐following (CF) dynamics is essential for improving traffic flow and advancing autonomous driving technologies. Due to the stochastic nature of CF behaviors, the CF model parameters often exhibit heterogeneity (multimodal trends), distribution uncertainty, and parameter ...
Shubo Wu, Yue Zhang, Yajie Zou, Yuanchang Xie, Yangyang Wang   +4 more
wiley   +1 more source

Exact simulation of reciprocal Archimedean copulas [PDF]

Statistics & Probability Letters, 2018
The decreasing enumeration of the points of a Poisson random measure whose mean measure has finite survival function on the positive half-axis can be represented as a non-increasing function of the jump times of a standard Poisson process. This observation allows to generalize the essential idea from a well-known exact simulation algorithm for ...
openaire   +2 more sources

Hybrid Clayton-Frank Convolution-Based Bivariate Archimedean Copula

Journal of Probability and Statistics, 2018
This study exploits the closure property of the converse convolution operator to come up with a hybrid Clayton-Frank Archimedean copula for two random variables.
Maxwell Akwasi Boateng, Akoto Yaw Omari-Sasu, Richard Kodzo Avuglah, Nana Kena Frempong   +3 more
doaj   +1 more source

Archimedean copula and contagion modeling in epidemiology

Networks and Heterogeneous Media, 2013
The aim of this paper is first to find interactions between compartments of hosts in the Ross-Macdonald Malaria transmission system. So, to make clearer this association we introduce the concordance measure and then the Kendall's tau and Spearman's rho ...
Jacques Demongeot, Mohamad Ghassani, Mustapha Rachdi, Idir Ouassou, Carla Taramasco   +4 more
doaj   +1 more source

Simulating Realistic Design Storms: A Joint Return Period Approach

Water Resources Research, Volume 61, Issue 7, July 2025.
Abstract Design storms are key components for planning drainage networks and flood risk management. Due to atmospheric processes, precipitation accumulations across multiple temporal intervals are often correlated and can combine to shape flood intensities. However, current design storm guidance overlook the observed correlations between return periods
Tabea Cache, Emanuele Bevacqua, Jakob Zscheischler, Hannes Müller‐Thomy, Nadav Peleg   +4 more
wiley   +1 more source

Trivariate distribution modelling of flood characteristics using copula function—A case study for Kelantan River basin in Malaysia

AIMS Geosciences, 2020
Water resources operational planning, managements or either flood defence infrastructure designs often demand the estimations of flow exceedance probability for visualizing the risk of flood episodes.
Shahid Latif, Firuza Mustafa
doaj   +1 more source

Prediction of the Annual Variation of Groundwater Depth and Its Probability Based on MCAR Model and Copula Functions: A Case Study in Beijing, China

Water Resources Research, Volume 61, Issue 6, June 2025.
Abstract Groundwater (GW) is the primary water source of socio‐economic development in water‐deficient regions, and long‐term overexploitation may cause GW depletion and deterioration. In this study, after analyzing the relationship between GW level and related factors, the main influencing factors were identified from the perspective of climate change
Yan Han, Xiaoling Zhang, Aifeng Lv, Wenbin Zhu   +3 more
wiley   +1 more source

Global Flood Projection and Socioeconomic Implications Under a Deep Learning Framework

Water Resources Research, Volume 61, Issue 5, May 2025.
Abstract As the planet warms, the frequency and severity of weather‐related hazards such as floods are intensifying, posing substantial threats to communities around the globe. Rising flood peaks and volumes claim lives, damage infrastructure, and compromise access to essential services.
Shengyu Kang, Jiabo Yin, Louise Slater, Pan Liu, Fubao Sun, Dedi Liu, Jun Xia   +6 more
wiley   +1 more source

Semiparametric Copula‐Based Confidence Intervals on Level Curves for the Evaluation of the Risk Level Associated to Bivariate Events

Environmetrics, Volume 36, Issue 2, March 2025.
ABSTRACT If (X,Y)$$ \left(X,Y\right) $$ is a random pair with distribution function FX,Y(x,y)=ℙ(X≤x,Y≤y)$$ {F}_{X,Y}\left(x,y\right)=\mathbb{P}\left(X\le x,Y\le y\right) $$, one can define the level curve of probability p$$ p $$ as the values of (x,y)∈ℝ2$$ \left(x,y\right)\in {\mathbb{R}}^2 $$ such that FX,Y(x,y)=p$$ {F}_{X,Y}\left(x,y\right)=p ...
Albert Folcher, Jean‐François Quessy
wiley   +1 more source