Results 101 to 110 of about 4,162 (190)
On the Distortion of a Copula and its Margins [PDF]
This article examines the notion of distortion of copulas, a natural extension of distortion within the univariate framework. We study three approaches to this extension: (1) distortion of the margins alone while keeping the original copula structure, (2)
Valdez, Emiliano A.
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Modeling Dependencies in Finance using Copulae [PDF]
In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the bivariate framework and discuss the simple, elliptical and Archimedean classes of copulae.
Ostap Okhrin +2 more
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Factor Tree Copula Models for Item Response Data. [PDF]
Psychometrika, 2023 Kadhem SH, Nikoloulopoulos AK.
europepmc +1 more source
A note on stochastic survival probabilities and their calibration [PDF]
In this note we use doubly stochastic processes (or Cox processes) in order to model the evolution of the stochastic force of mortality of an individual aged x.
Elena Vigna, Elisa Luciano, Jaap Spreeuw
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Estimation and Model Selection of Copulas with an Application to Exchange Rates [PDF]
Copulas are the part of a multivariate distribution function that fully captures the cross sectional dependence between the variables of interest and they have become a very popular tool to model dependencies different from the linear correlation of ...
Manner, Hans
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Sensitivity Analysis for Survival Prognostic Prediction with Gene Selection: A Copula Method for Dependent Censoring. [PDF]
Biomedicines, 2023 Yeh CT, Liao GY, Emura T.
europepmc +1 more source
THE APPLICATION OF COPULAS IN PRICING DEPENDENT CREDIT DERIVATIVES INSTRUMENTS [PDF]
The aim of this paper is to use copulas functions to capture the different structures of dependency when we deal with portfolios of dependent credit risks and a basket of credit derivatives.
Fathi Abid, Nader Naifar
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Can crop yield risk be globally diversified? [PDF]
In 2007 and 2008 world food markets observed a significant price boom. Crop failures simultaneously occurring in some of the world’s major production regions have been quoted as one factor among others for the price boom.
Martin Odening, Wei Xu, Xiaoliang Liu
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Copula modeling for the estimation of measures of marker classification and predictiveness performance with survival outcomes. [PDF]
Stat Methods Med Res, 2023 Escarela G +3 more
europepmc +1 more source