Results 81 to 90 of about 927 (219)

On a Multivariate Extension for Copula-Based Conditional Value at Risk

Journal of Statistical Theory and Applications (JSTA)
Copula-based Conditional Value at Risk ( $$\textrm{CCVaR}$$ ) is a real-valued tail risk measure for multivariate random vectors defined through conditioning on a copula level set.
Andres Mauricio Molina Barreto
doaj   +1 more source

Developing New Bivariate Distributions With Advanced Estimation Methods for Interdisciplinary Data Analysis

Journal of Mathematics, Volume 2026, Issue 1, 2026.
This paper proposes a novel bivariate odd beta prime Fréchet (BOBPF) distribution constructed through the application of the Farlie–Gumbel–Morgenstern (FGM) copula function. The new model, called the BOBPF‐FGM, is engineered to address the persistent challenge of modeling positively skewed and heavy‐tailed bivariate data that exhibit complex ...
Aliyu Ismail Ishaq, Ahmad Abubakar Suleiman, Hana N. Alqifari, Amani Almohaimeed, Hanita Daud, Sani I. Abba, Nian-Sheng Tang   +6 more
wiley   +1 more source

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, Ranadeera G.M. Samanthi, Jungsywan H. Sepanski   +2 more
doaj   +1 more source

Pruning and Truncating the Mixture R‐Vine Model Using the Mixture Weight

Journal of Probability and Statistics, Volume 2026, Issue 1, 2026.
Vine copula mixture models are highly flexible and can handle complex hidden dependencies among variables without restricting the parametric shape of the margins or the type of dependency structure. But it loses flexibility as the number of dimensions increases. That is due to two main reasons.
Fadhah Alanazi, Marek T. Malinowski
wiley   +1 more source

Testing independence for Archimedean copula based on Bernstein estimate of Kendall distribution function

, 2018
In this study, we estimate the Kendall distribution function (K(t)) for Archimedean copula family using Bernstein polynomial approximation and we investigate its performance by Monte Carlo simulation.
Burcu Hudaverdi Ucer, Susam, Selim Orhun, Selim Orhun Susam, Hüdaverdi, Burcu   +3 more
core   +1 more source

On bivariate Archimedean copulas with fractal support

Dependence Modeling
Due 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, Trutschnig Wolfgang   +1 more
doaj   +1 more source

On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators

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
doaj   +1 more source

Elliptical and Archimedean copula models: an application to the price estimation of portfolio credit derivatives

, 2020
This paper explores the impact of elliptical and Archimedean copula models on the valuation of basket default swaps. We employ Monte Carlo simulation, in connection with the copula models, to estimate the default times and to calculate the swap payment ...
Umeorah, Nneka, Mashele, Phillip, Ehrhardt, Matthias   +2 more
core   +1 more source

Development of a maximum entropy-Archimedean copula-based bayesian network method for streamflow frequency analysis-A case study of the Kaidu River Basin, China [PDF]

, 2018
Frequency analysis of streamflow is critical for water-resources system planning, water conservancy projects and the mitigation of hydrological extremes events.
Yongping Li, Xueting Zeng, Yurui Fan, Zeng, X, Guohe Huang, Wang, C, Chunxiao Wang, Fan, Y, Xiangming Kong, Cong Chen, Huang, G, Li, Y, Chen, C, Kong, X   +13 more
core   +1 more source

Modelling of vector MEM with hierarchical Archimedean copula [PDF]

, 2012
Die ökonometrische Analyse hochfrequenter Daten befasst sich oft mit der Modellierung von Prozessen, die auf den positiven reellen Zahlen definiert sind und eine starke Persistenz aufweisen, zum Beispiel die bedingte Zeit zwischen Transaktionen.
Ristig, Alexander
core   +1 more source