Results 171 to 180 of about 19,478 (209)

Projections of meteorological drought severity-duration variations based on CMIP6. [PDF]

Sci Rep
Behzadi F, Javadi S, Yousefi H, Hashemy Shahdany SM, Moridi A, Neshat A, Golmohammadi G, Maghsoudi R.   +7 more
europepmc   +1 more source

Structured Expert Elicitation of Dependence Between River Tributaries Using Nonparametric Bayesian Networks. [PDF]

Risk Anal
Rongen G, Morales-Nápoles O, Worm D, Kok M.   +3 more
europepmc   +1 more source

The Dynamics of Shannon Entropy in Analyzing Climate Variability for Modeling Temperature and Precipitation Uncertainty in Poland. [PDF]

Entropy (Basel)
Twaróg B.
europepmc   +1 more source

Properties of Hierarchical Archimedean Copulas [PDF]

Statistics and Risk Modeling, 2013
Abstract In this paper we analyse the properties of hierarchical Archimedean copulas. This class is a generalisation of the Archimedean copulas and allows for general non-exchangeable dependency structures. We show that the structure of the copula can be uniquely recovered from all bivariate margins.
Wolfgang Schmid, Ostap Okhrin
exaly   +7 more sources

Efficiently Sampling Nested Archimedean Copulas

Computational Statistics and Data Analysis, 2011
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Marius Hofert
exaly   +4 more sources

Sampling Nested Archimedean Copulas

Journal of Statistical Computation and Simulation, 2008
We give algorithms for sampling from non-exchangeable Archimedean copulas created by the nesting of Archimedean copula generators, where in the most general algorithm the generators may be nested to an arbitrary depth.
Alexander J. McNeil
exaly   +2 more sources

Some of the next articles are maybe not open access.

Related searches:

Simulating From Exchangeable Archimedean Copulas

Communications in Statistics Part B: Simulation and Computation, 2007
Multivariate exchangeable Archimedean copulas are one of the most popular classes of copulas that are used in actuarial science and finance for modeling risk dependencies and for using them to quantify the magnitude of tail dependence. Owing to the increase in popularity of copulas to measure dependent risks, generating from multivariate copulas has ...
Michael Sherris
exaly   +3 more sources

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
openaire   +3 more sources

Frankʼs condition for multivariate Archimedean copulas

Fuzzy Sets and Systems, 2014
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Arturo Erdely, José M. González-Barrios, María M. Hernández-Cedillo   +2 more
openaire   +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
openaire   +1 more source