Results 111 to 120 of about 19,478 (209)

Penalized estimation of hierarchical Archimedean copula

Journal of Multivariate Analysis
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Ostap Okhrin, Alexander Ristig
openaire   +3 more sources

Modelado de parejas aleatorias usando cópulas Modelling Random Couples Using Copulas

Revista Colombiana de Estadística, 2009
Las cópulas se han convertido en una herramienta útil para el modelado multivariado tanto estocástico como estadístico. En este artículo se revisan propiedades fundamentales de las cópulas que permitan caracterizar la estructura de dependencia de ...
GABRIEL ESCARELA, ANGÉLICA HERNÁNDEZ
doaj  

Interval-conditioned quantiles of bivariate copulas

Dependence Modeling
We study conditional distributions and their quantiles when a continuous covariate is conditioned on an interval event, without discretizing the covariate itself, focusing on bivariate copulas.
Molendijk Thomas, Şahin Özge
doaj   +1 more source

MODELLING RANDOM COUPLES USING COPULAS MODELADO DE PAREJAS ALEATORIAS USANDO CÓPULAS

Revista Colombiana de Estadística, 2009
Copulas have become a useful tool for the multivariate modelling in both stochastics and statistics. In this article, fundamental properties that allow the characterization of the dependence structure of families of the bivariate distributions defined by
Escarela Gabriel, Hernández Angélica
doaj  

Dependence properties of bivariate copula families

Dependence Modeling
Motivated by recently investigated results on dependence measures and robust risk models, this article provides an overview of dependence properties of many well known bivariate copula families, where the focus is on the Schur order for conditional ...
Ansari Jonathan, Rockel Marcus
doaj   +1 more source

Sampling Archimedean copulas

The challenge of efficiently sampling exchangeable and nested Archimedean copulas is addressed. Specific focus is put on large dimensions, where methods involving generator derivatives are not applicable.
Hofert, Marius
core  

Hierarchical Archimedean Copulae

, 2012
This paper aims at explanation of the R-package HAC, which provides user friendly methods for dealing with high-dimensional hierarchical Archimedean copulae (HAC). A computationally eficient estimation procedure allows to recover the structure and the parameters of HACs from data.
Okhrin, Ostap, Ristig, Alexander
openaire   +1 more source

Probabilistic Assessment of the Interaction between Weather, COVID-19 and Exchange rate of Mumbai City in India using Archimedean Copulas

, 2022
Barma SD, Uttarwar SB, Mahesha A.
europepmc   +1 more source

An information ratio-based goodness-of-fit test for copula models on censored data. [PDF]

Biometrics, 2023
Sun T, Cheng Y, Ding Y.
europepmc   +1 more source

Factor Tree Copula Models for Item Response Data. [PDF]

Psychometrika, 2023
Kadhem SH, Nikoloulopoulos AK.
europepmc   +1 more source