Results 1 to 10 of about 18,813 (205)
Matrix-Tilted Archimedean Copulas [PDF]
Risks, 2021 The new class of matrix-tilted Archimedean copulas is introduced. It combines properties of Archimedean and elliptical copulas by introducing a tilting matrix in the stochastic representation of Archimedean copulas, similar to the Cholesky factor for ...
Marius Höfert, Johanna Ziegel
exaly +8 more sources
Lorenz-generated bivariate Archimedean copulas
Dependence Modeling, 2020 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 ...
Cornelis Oosterlee, Andrea Fontanari
exaly +5 more sources
On Generators in Archimedean Copulas [PDF]
Sahand Communications in Mathematical Analysis, 2018 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
Vadoud Najjari
doaj +3 more sources
Generative Archimedean Copulas [PDF]
CoRR, 2021 We propose a new generative modeling technique for learning multidimensional cumulative distribution functions (CDFs) in the form of copulas. Specifically, we consider certain classes of copulas known as Archimedean and hierarchical Archimedean copulas, popular for their parsimonious representation and ability to model different tail dependencies.
Yuting Ng +3 more
core +5 more sources
Convergence of Archimedean copulas [PDF]
Statistics & Probability Letters, 2006 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Charpentier, Arthur, Segers, Johan
openaire +8 more sources
On an asymmetric extension of multivariate Archimedean copulas based on quadratic form
Dependence Modeling, 2016 An important topic in Quantitative Risk Management concerns the modeling of dependence among risk sources and in this regard Archimedean copulas appear to be very useful.
Walter W Piegorsch
exaly +2 more sources
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 ...
Walter W Piegorsch
exaly +2 more sources
Using Copulas to Model Dependence Between Crude Oil Prices of West Texas Intermediate and Brent-Europe [PDF]
Sahand Communications in Mathematical Analysis, 2020 In this study the main endeavor is to model dependence structure between crude oil prices of West Texas Intermediate (WTI) and Brent - Europe. The main activity is on concentrating copula technique which is powerful technique in modeling dependence ...
Vadoud Najjari
doaj +1 more source
On convergence of associative copulas and related results
Dependence Modeling, 2021 Triggered by a recent article establishing the surprising result that within the class of bivariate Archimedean copulas 𝒞ar different notions of convergence - standard uniform convergence, convergence with respect to the metric D1, and so-called weak ...
Kasper Thimo M. +2 more
doaj +1 more source
CoRR, 2020 A central problem in machine learning and statistics is to model joint densities of random variables from data. Copulas are joint cumulative distribution functions with uniform marginal distributions and are used to capture interdependencies in isolation from marginals.
Chun Kai Ling +2 more
openaire +4 more sources