Results 81 to 90 of about 4,366 (211)
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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New Families of Bivariate Copulas via Unit Lomax Distortion
Risks, 2020 This article studies a new family of bivariate copulas constructed using the unit-Lomax distortion derived from a transformation of the non-negative Lomax random variable into a variable whose support is the unit interval.
Fadal Abdullah-A Aldhufairi +2 more
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Identifiability and estimation of the competing risks model under exclusion restrictions
Statistica Neerlandica, Volume 79, Issue 1, February 2025.The nonidentifiability of the competing risks model precludes the empirical researcher from obtaining informative estimation results unless she is willing to impose restrictions on the model. Inspired by the heavy use of exclusion restrictions in other areas of statistics, we impose an exclusion restriction to derive a new identifiability result for ...
Munir Hiabu +2 more
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On bivariate Archimedean copulas with fractal support
Dependence ModelingDue to their simple analytic form (bivariate) Archimedean copulas are usually viewed as very smooth and handy objects, which should distribute mass in a fairly regular and certainly not in a pathological way. Building upon recently established results on
Sánchez Juan Fernández +1 more
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Singularity aspects of Archimedean copulas
Journal of Mathematical Analysis and Applications, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Fernández Sánchez, Juan +1 more
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Dependence Modeling, 2013 We study the impact of certain transformations within the class of Archimedean copulas. We give some admissibility conditions for these transformations, and define some equivalence classes for both transformations and generators of Archimedean copulas ...
Di Bernardino Elena, Rullière Didier
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On approximating copulas by finite mixtures
, 2018 Copulas are now frequently used to approximate or estimate multivariate distributions because of their ability to take into account the multivariate dependence of the variables while controlling the approximation properties of the marginal densities ...
Khaled, Mohamad A., Kohn, Robert
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Arnhilda Aspasia Lundy +2 more
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Nested Archimedean Copulas Meet R: The nacopula Package [PDF]
The package nacopula provides procedures for constructing nested Archimedean copulas in any dimensions and with any kind of nesting structure, generating vectors of random variates from the constructed objects, computing function values and probabilities
Marius Hofert, Martin Maechler
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Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
, 2012 Weak convergence of the empirical copula process is shown to hold under the assumption that the first-order partial derivatives of the copula exist and are continuous on certain subsets of the unit hypercube.
Segers, Johan
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