Results 41 to 50 of about 41,008 (203)
General Multivariate Dependence using Associated Copulas
Revstat Statistical Journal, 2016 This paper studies the general multivariate dependence and tail dependence of a random vector. We analyse the dependence of variables going up or down, covering the 2 d orthants of dimension d and accounting for non-positive dependence.
Yuri Salazar Flores
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Modeling the Dependence of Losses of a Financial Portfolio Using Nested Archimedean Copulas
International Journal of Mathematics and Mathematical Sciences, 2021 In financial analysis, stochastic models are more and more used to estimate potential outcomes in a risky framework. This paper proposes an approach of modeling the dependence of losses on securities, and the potential loss of the portfolio is divided ...
Wendkouni Yaméogo, D. Barro
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Outer power transformations of hierarchical Archimedean copulas: Construction, sampling and estimation [PDF]
Computational Statistics & Data Analysis, 2020 A large number of commonly used parametric Archimedean copula (AC) families are restricted to a single parameter, connected to a concordance measure such as Kendall's tau.
J. Górecki, M. Hofert, O. Okhrin
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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.
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Spatial Tail Dependence and Survival Stability in a Class of Archimedean Copulas
International Journal of Mathematics and Mathematical Sciences, 2016 This paper investigates properties of extensions of tail dependence of Archimax copulas to high dimensional analysis in a spatialized framework. Specifically, we propose a characterization of bivariate margins of spatial Archimax processes while spatial ...
Diakarya Barro +2 more
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Archimedean Copulas and Several Methods on Constructing Generators
WSEAS Transactions on Systems, 2021 The main aim of this paper is to propose new methods in constructing generators for Archimedean copulas (AC). After reviewing some construction methods of AC generators, three general methods are proposed to construct new generators.
A.M., Kazemi Rad +2 more
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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 ...
Arthur Charpentier, Johan Segers
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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
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Dependence Modeling, 2018 Williamson’s integral representation of n-monotone functions on the half-line is generalized to several dimensions. This leads to a characterization of multivariate survival functions with multiply ℓ1- symmetry.
Ressel Paul
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Local Dependence for Bivariate Weibull Distributions Created by Archimedean Copula
مجلة بغداد للعلوم, 2021 In multivariate survival analysis, estimating the multivariate distribution functions and then measuring the association between survival times are of great interest.
Swar O. Ahmed +2 more
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