Results 31 to 40 of about 19,478 (209)
ARCHIMEDEAN COPULAS AND TEMPORAL DEPENDENCE [PDF]
Econometric Theory, 2012 We study the dependence properties of stationary Markov chains generated by Archimedean copulas. Under some simple regularity conditions, we show that regular variation of the Archimedean generator at zero and one implies geometric ergodicity of the associated Markov chain.
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New Families of Bivariate Copulas via Unit Lomax Distortion
Risks, 2020 This article studies a new family of bivariate copulas constructed using the unit-Lomax distortion derived from a transformation of the non-negative Lomax random variable into a variable whose support is the unit interval.
Fadal Abdullah-A Aldhufairi +2 more
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Theoretical Study of Some Angle Parameter Trigonometric Copulas
Modelling, 2022 Copulas are important probabilistic tools to model and interpret the correlations of measures involved in real or experimental phenomena. The versatility of these phenomena implies the need for diverse copulas.
Christophe Chesneau
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Time Varying Hierarchical Archimedean Copulae [PDF]
SSRN Electronic Journal, 2010 There is increasing demand for models of time-varying and non-Gaussian dependencies for multivariate time-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A promising class of models are the hierarchical Archimedean copulae (HAC) that allow for non-exchangeable and non ...
Wolfgang Karl Härdle +2 more
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On an asymmetric extension of multivariate Archimedean copulas based on quadratic form
Dependence Modeling, 2016 An important topic in Quantitative Risk Management concerns the modeling of dependence among risk sources and in this regard Archimedean copulas appear to be very useful.
Di Bernardino Elena, Rullière Didier
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Residual Probability Function for Dependent Lifetimes
Mathematics, 2021 In this paper, the residual probability function is applied to analyze the survival probability of two used components relative to each other in the case when their lifetimes are dependent. The expression of the function by copulas has been derived along
Mhamed Mesfioui, Mohamed Kayid
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A Note on Upper Tail Behavior of Liouville Copulas
Risks, 2016 The family of Liouville copulas is defined as the survival copulas of multivariate Liouville distributions, and it covers the Archimedean copulas constructed by Williamson’s d-transform.
Lei Hua
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From Archimedean to Liouville copulas
Journal of Multivariate Analysis, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Alexander J. McNeil, Johanna Neslehová
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Copulas in finance and insurance [PDF]
, 2008 Copulas provide a potential useful modeling tool to represent the dependence structure among variables and to generate joint distributions by combining given marginal distributions. Simulations play a relevant role in finance and insurance.
Romera, Rosario, Molanes, Elisa M.
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Simulation of the occurrence of drought events via copulas
RBRH, 2020 This study presents a method based on Archimedean and Gaussian copulas to simulate the occurrence of hydrological droughts. The droughts were characterized by theory of runs for four threshold levels and six univariate probability distributions were ...
Rogério de Almeida +1 more
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