Results 101 to 110 of about 19,478 (209)

Dependence and Order in Families of Archimedean Copulas

Journal of Multivariate Analysis, 1997
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Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas

Dependence Modeling, 2017
Several successful approaches to structure determination of hierarchical Archimedean copulas (HACs) proposed in the literature rely on agglomerative clustering and Kendall’s correlation coefficient.
Górecki J., Hofert M., Holeňa M.
doaj   +1 more source

Bayesian Nonparametric Mixtures of Archimedean Copulas

Journal of Agricultural, Biological and Environmental Statistics
Copula-based dependence modeling often relies on parametric formulations. This is mathematically convenient, but can be statistically inefficient when the parametric families are not suitable for the data and model in focus. A Bayesian nonparametric mixture of Archimedean copulas is introduced to increase the flexibility of copula-based dependence ...
Pan, Ruyi, Nieto-Barajas, Luis E., Craiu, Radu V.   +2 more
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Archimedean Copulas

, 2010
In the area of financial risk assessment and actuarial calculation it is important to know the probability for two or more risks to occur at the same time.
Oelker, Aenne
core  

Sampling nested Archimedean copulas with applications to CDO pricing

, 2010
Copulas are distribution functions with standard uniform univariate margins. One particular parametric class of copulas is the class Archimedean copulas.
Hofert, Marius
core   +1 more source

Modeling defaults with nested Archimedean copulas

, 2010
In 2001, Schönbucher and Schubert extended Li's well-known Gaussian copula model for modeling dependent defaults to allow for tail dependence. Instead of the Gaussian copula, Schönbucher and Schubert suggested to use Archimedean copulas.
Marius Hofert, Hofert, Marius
core   +1 more source

Reliability analysis of parallel systems with dependent components and Archimedean copulas

Journal of Inequalities and Applications
In this paper, preservation properties of reversed hazard rate order and a relative overall reversed hazard rate order under the structure of a parallel system with dependent components having lifetimes coupled by an Archimedean copula are established ...
Mashael A. Alshehri
doaj   +1 more source

Copula-Based Risk Aggregation and the Significance of Reinsurance

Risks
Insurance companies need to calculate solvency capital requirements in order to ensure that they can meet their future obligations to policyholders and beneficiaries.
Alexandra Dias, Isaudin Ismail, Aihua Zhang   +2 more
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Performance Analysis of RIS-Assisted Communication With Direct Link: A New Copula Application

IEEE Open Journal of the Communications Society
Reconfigurable intelligent surface (RIS) has received remarkable attention as a promising solution to enhance the capacity and coverage of wireless cellular networks. In this paper, we evaluate the performance of RIS-assisted communication systems in the
Damoon Shahbaztabar, Imene Trigui, Wei-Ping Zhu, Wessam Ajib   +3 more
doaj   +1 more source

Inference for overparametrized hierarchical Archimedean copulas

Journal of Multivariate Analysis
Hierarchical Archimedean copulas (HACs) are multivariate uniform distributions constructed by nesting Archimedean copulas into one another, and provide a flexible approach to modeling non-exchangeable data. However, this flexibility in the model structure may lead to over-fitting when the model estimation procedure is not performed properly.
Samuel Perreault, Yanbo Tang, Ruyi Pan, Nancy Reid   +3 more
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