Results 11 to 20 of about 19,478 (209)
Convergence of Archimedean copulas [PDF]
Statistics & Probability Letters, 2006 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Charpentier, Arthur, Segers, Johan
core +8 more sources
Generative Archimedean Copulas [PDF]
CoRR, 2021 We propose a new generative modeling technique for learning multidimensional cumulative distribution functions (CDFs) in the form of copulas. Specifically, we consider certain classes of copulas known as Archimedean and hierarchical Archimedean copulas, popular for their parsimonious representation and ability to model different tail dependencies.
Yuting Ng +3 more
openaire +4 more sources
Computational Statistics & Data Analysis, 2008 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hofert, Marius
openaire +3 more sources
Lorenz-generated bivariate Archimedean copulas
Dependence Modeling, 2020 A novel generating mechanism for non-strict bivariate Archimedean copulas via the Lorenz curve of a non-negative random variable is proposed. Lorenz curves have been extensively studied in economics and statistics to characterize wealth inequality and ...
Fontanari Andrea +2 more
doaj +4 more sources
Copulas for Covariate Simulation in Pharmacometrics [PDF]
CPT: Pharmacometrics &Systems Pharmacology, Volume 15, Issue 4, April 2026.ABSTRACT Patient‐specific covariates are commonly incorporated in pharmacometric and quantitative system pharmacology models to predict differences in pharmacokinetic or pharmacodynamic profiles between patients. When simulating new virtual populations of patients, generating realistic covariate sets that accurately reflect the correlation structures ...
Yuchen Guo +3 more
wiley +2 more sources
When There's No November Rain: Developing a Parametric Insurance for Hydroelectric Energy Generators in Brazil [PDF]
Risk Analysis, Volume 46, Issue 9, September 2026.ABSTRACT Hydrological risk is a growing challenge for renewable power systems, as droughts reduce generation, increase costs, and expose gaps in risk‐transfer mechanisms. We examine this problem in Brazil, home to the world's sixth‐largest electricity system and highly dependent on hydroelectricity, which accounted for 43% of installed generation ...
Nathalia Costa Fonseca +3 more
wiley +2 more sources
Convergence of Archimedean Copulas
Freakonometrics, 2008 The paper on Convergence of Archimedean Copulas, with Johan Segers, just appeared, in Statistics and Probability Letters. Convergence of a sequence of bivariate Archimedean copulas to another Archimedean copula or to the comonotone copula is shown to be ...
Arthur Charpentier
core +3 more sources
Construction and sampling of Archimedean and nested Archimedean Lévy copulas
Journal of Multivariate Analysis, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Oliver Grothe, Marius Hofert
openaire +3 more sources
Densities of nested Archimedean copulas
Journal of Multivariate Analysis, 2013 Nested Archimedean copulas recently gained interest since they generalize the well-known class of Archimedean copulas to allow for partial asymmetry. Sampling algorithms and strategies have been well investigated for nested Archimedean copulas. However, for likelihood based inference it is important to have the density. The present work fills this gap.
Marius Hofert, David Pham
openaire +4 more sources
Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case
Dependence Modeling, 2019 Two simulation algorithms for hierarchical Archimedean copulas in the case when intra-group generators are not necessarily completely monotone are presented. Both generalize existing algorithms for the completely monotone case.
Mai Jan-Frederik
doaj +2 more sources