Results 171 to 180 of about 41,008 (203)

Semiparametric bivariate Archimedean copulas

Computational Statistics & Data Analysis, 2011
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
José Miguel Hernández-Lobato, Alberto Suárez 0001   +1 more
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Sampling Archimedean copulas

Computational Statistics & Data Analysis, 2008
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Non-stationary frequency analysis of annual extreme rainfall volume and intensity using Archimedean copulas: A case study in eastern China

Journal of Hydrology, 2019
Owing to hydrological change and human activities, increasing attention is being paid to the evolution of dependence structure of hydrological characteristics, especially for non-stationary multivariate frequency analysis.
Heshu Li, Dong Wang, V. Singh, Yuankun Wang, Jianfeng Wu, Jichun Wu, Jiu-fu Liu, Y. Zou, R. He, Jianyun Zhang   +9 more
semanticscholar   +1 more source

TIME-VARYING HIERARCHICAL ARCHIMEDEAN COPULAS: A NON-PARAMETRIC APPROACH

Far East Journal of Theoretical Statistics
A non-parametric approach based on U-statistics in the construction of the time-varying hierarchical Archimedean copula model has been proposed. The procedure aims to analyze changes in the Kendall correlation matrix computed from the observations.
Dodo Natatou Moutari, Benjamin Wengoundi Nikiéma, Hassane Abba Mallam, Barro Diakarya, B. Saley   +4 more
semanticscholar   +1 more source

Using hierarchical Archimedean copulas for modelling mortality dependence and pricing mortality-linked securities

Annals of Actuarial Science, 2020
In this article, we explore the use of multivariate Archimedean copulas in modelling the mortality dependence between different countries and pricing mortality bonds.
Jackie Li, U. Balasooriya, Jia Liu
semanticscholar   +1 more source

Novel operations for linguistic neutrosophic sets on the basis of Archimedean copulas and co-copulas and their application in multi-criteria decision-making problems

Journal of Intelligent & Fuzzy Systems, 2019
Operations for linguistic neutrosophic numbers (LNNs) have been receiving considerable attention. Existing LNNs operations are generally based upon Archimedean triangular norm and triangular conorm.
Ting Chen, Sang-sang He, Jian-qiang Wang, Lin Li, Han-yang Luo   +4 more
semanticscholar   +1 more source

Hierarchies of Archimedean copulas

Quantitative Finance, 2009
We present a flexible class of hierarchical copulas capable of modelling multidimensional joint distributions of asset returns with a richer rank correlation structure than existing models. We derive estimators and simulation techniques. The methods are applied to an illustrative portfolio consisting of a subset of DAX stocks.
Cornelia Savu, Mark Trede
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Bivariate Modeling of Hydroclimatic Variables in Humid Tropical Coastal Region Using Archimedean Copulas

, 2020
The present study focuses on the dependence modeling of hydroclimatic variables such as the El Nino–Southern Oscillation (ENSO) index, precipitation, tidal height, and groundwater level (GW...
S. Uttarwar, S. Barma, A. Mahesha
semanticscholar   +1 more source

Joint occurrence probability analysis of typhoon-induced storm surges and rainstorms using trivariate Archimedean copulas

Ocean Engineering, 2019
In this paper, the trivariate frequency analysis method for joint probability assessment of typhoon-induced storm surges and rainstorms is presented. The proposed method includes three major processes.
Xing Yang, Jun Qian
semanticscholar   +1 more source

A Generalization of the Archimedean Class of Bivariate Copulas

Annals of the Institute of Statistical Mathematics, 2006
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DURANTE, FABRIZIO, J. J. QUESADA MOLINA, SEMPI, Carlo   +2 more
openaire   +3 more sources