Results 41 to 50 of about 4,073 (193)

Tails of multivariate Archimedean copulas

Journal of Multivariate Analysis, 2009
A complete and user-friendly directory of tails of Archimedean copulas is presented which can be used in the selection and construction of appropriate models with desired properties. The results are synthesized in the form of a decision tree: Given the values of some readily computable characteristics of the Archimedean generator, the upper and lower ...
Charpentier, Arthur, Segers, Johan
openaire   +4 more sources

Asymptotic independence in more than two dimensions and its implications on risk management

Canadian Journal of Statistics, EarlyView.
Abstract In extreme value theory, the presence of asymptotic independence signifies that joint extreme events across multiple variables are unlikely. Although well understood in a bivariate context, the concept remains relatively unexplored when addressing the nuances of simultaneous occurrence of extremes in higher dimensions.
Bikramjit Das, Vicky Fasen‐Hartmann
wiley   +1 more source

On Truncation Invariant Copulas and their Estimation

Dependence Modeling, 2017
The paper deals with the family of irreducible left truncation invariant bivariate copulas, which admit a nontrivial lower tail dependence function. Such copulas, similarly as the Archimedean ones, are characterized by a functional parameter, a generator
Jaworski Piotr
doaj   +1 more source

Modelling stochastic bivariate mortality [PDF]

, 2006
Stochastic mortality, i.e. modelling death arrival via a jump process with stochastic intensity, is gaining increasing reputation as a way to represent mortality risk.
A J G Cairns, A K Manatunga, A Shemyakin, C Genest, C Genest, C Genest, D Duue, D Duue, D Duue, D F Schrager, D G Clayton, D Lando, D Lando, D M Dabrowska, D Oakes, D Oakes, E Biis, E Luciano, E W Frees, Elena Vigna, Elisa Luciano, H Youn, H Youn, J E Anderson, J F Carriere, J Spreeuw, Jaap Spreeuw, M A Milevsky, M Dahl, M Denuit, M Denuit, P Artzner, P Br Emaud, P Hougaard, R B Nelsen, U Cherubini, W Wang   +36 more
core   +1 more source

Risk Times in Mission‐Oriented Systems

Quality and Reliability Engineering International, EarlyView.
ABSTRACT This article assesses risk times in mission‐oriented systems with high safety standards. We examine critical times under two safety policies. The first requires that the system's reliability function, known the first failure of the components, must exceed a reliability level throughout the mission.
Antonio Arriaza, Jorge Navarro, Patricia Ortega‐Jiménez   +2 more
wiley   +1 more source

Characterizations of Archimedean n-copulas [PDF]

Kybernetika, 2015
Summary: We present three characterizations of \(n\)-dimensional Archimedean copulas: algebraic, differential and diagonal. The first is due to Jouini and Clemen. We formulate it in a more general form, in terms of an \(n\)-variable operation derived from a binary operation.
openaire   +2 more sources

McDowell and Sellars on Objective Purport

European Journal of Philosophy, EarlyView.
Abstract John McDowell has criticized Wilfrid Sellars on several occasions and over a number of years for his ‘non‐relational’ account of intentionality. This account is, according to McDowell, at least partly responsible for a ‘blind spot’ in Sellars's thinking: Sellars, allegedly, fails to see how objects or states of affairs in the external world ...
Stefan Brandt
wiley   +1 more source

Archimedean Copulas: A Useful Approach in Biomedical Data—A Review with an Application in Pediatrics

Stats
Many applications in health research involve the analysis of multivariate distributions of random variables. In this paper, we review the basic theory of copulas to illustrate their advantages in deriving a joint distribution from given marginal ...
Giulia Risca, Stefania Galimberti, Paola Rebora, Alessandro Cattoni, Maria Grazia Valsecchi, Giulia Capitoli   +5 more
doaj   +1 more source

Hyperbolic and Trigonometric Generators of Archimedean Copulas: Characteristics and Performance [PDF]

Sahand Communications in Mathematical Analysis
In this paper, hyperbolic and trigonometric functions, based on cosecant and cotangent as generator function for the family of Archimedean copula, are proposed. For these families, the dependence characteristics are compared.
Amirmasoud Kazemirad, Leila Golshani, Vadood Najjari, Mohsen Kokabinezhad   +3 more
doaj   +1 more source

Hierarchical Archimedean Copulae: The HAC Package [PDF]

Journal of Statistical Software, 2014
This paper presents the R package HAC, which provides user friendly methods for dealing with hierarchical Archimedean copulae (HAC). Computationally efficient estimation procedures allow to recover the structure and the parameters of HAC from data. In addition, arbitrary HAC can be constructed to sample random vectors and to compute the values of the ...
Ostap Okhrin, Alexander Ristig
openaire   +4 more sources