Results 21 to 30 of about 41,008 (203)

On bivariate Archimedean copulas with fractal support

Dependence Modeling
Due to their simple analytic form (bivariate) Archimedean copulas are usually viewed as very smooth and handy objects, which should distribute mass in a fairly regular and certainly not in a pathological way. Building upon recently established results on
Sánchez Juan Fernández, Trutschnig Wolfgang   +1 more
doaj   +2 more sources

Archimedean Copulas-Based Estimation under One-Parameter Distributions in Coherent Systems

Mathematics
In the present work we provide a signature-based framework for delivering the estimated mean lifetime along with the variance of the continuous distribution of a coherent system consisting of exchangeable components.
Ioannis S. Triantafyllou
doaj   +2 more sources

On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators

Dependence Modeling, 2013
We study the impact of certain transformations within the class of Archimedean copulas. We give some admissibility conditions for these transformations, and define some equivalence classes for both transformations and generators of Archimedean copulas ...
Elena Di Bernardino
exaly   +2 more sources

Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family

Dependence Modeling, 2018
The family of Clayton copulas is one of the most widely used Archimedean copulas for dependency measurement. A major drawback of this copula is that when it accounts for negative dependence, the copula is nonstrict and its support is dependent on the ...
Cooray Kahadawala
doaj   +2 more sources

Copulas for Covariate Simulation in Pharmacometrics. [PDF]

CPT Pharmacometrics Syst Pharmacol
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 ...
Guo Y, Guo T, van Hasselt JGC, Zwep LB.
europepmc   +2 more sources

Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas

Dependence Modeling, 2017
Several successful approaches to structure determination of hierarchical Archimedean copulas (HACs) proposed in the literature rely on agglomerative clustering and Kendall’s correlation coefficient.
Górecki J., Hofert M., Holeňa M.
doaj   +2 more sources

On convergence and mass distributions of multivariate Archimedean copulas and their interplay with the Williamson transform [PDF]

Journal of Mathematical Analysis and Applications, 2022
Motivated by a recently established result saying that within the class of bivariate Archimedean copulas standard pointwise convergence implies weak convergence of almost all conditional distributions this contribution studies the class $\mathcal{C}_{ar}^
Thimo M. Kasper, N. Dietrich, W. Trutschnig   +2 more
semanticscholar   +1 more source

Generative Archimedean Copulas

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, Ali Hasan, Khalil Elkhalil, Vahid Tarokh   +3 more
openaire   +3 more sources

Permutation Tests Based on the Copula-Graphic Estimator and Their Use for Survival Tree Construction. [PDF]

Stat Med
ABSTRACT Survival trees are popular alternatives to Cox or Aalen regression models that offer both modeling flexibility and graphical interpretability. This paper introduces a new algorithm for survival trees that relaxes the assumption of independent censoring. To this end, we use the copula‐graphic estimator to estimate survival functions.
Baur P, Pauly M, Emura T.
europepmc   +2 more sources

Using Copulas to Model Dependence Between Crude Oil Prices of West Texas Intermediate and Brent-Europe [PDF]

Sahand Communications in Mathematical Analysis, 2020
In this study the main endeavor is to model dependence structure  between crude oil prices of West Texas Intermediate (WTI) and Brent - Europe.  The main activity is on concentrating copula technique which is powerful technique in modeling dependence ...
Vadoud Najjari
doaj   +1 more source