Results 41 to 50 of about 4,162 (190)

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, Paulo Sérgio Franco Barbosa   +1 more
doaj   +1 more source

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   +2 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   +2 more sources

Nonparametric estimation of the tree structure of a nested Archimedean copula

, 2013
One of the features inherent in nested Archimedean copulas, also called hierarchical Archimedean copulas, is their rooted tree structure. A nonparametric, rank-based method to estimate this structure is presented.
Segers, Johan, Uyttendaele, Nathan
core   +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

A New Family of Archimedean Copulas: The Half-Logistic Family of Copulas

Mathematics, 2023
In this research, we introduce a truncation of the half-logistic distribution function as a multiplicative Archimedean generator. The corresponding Archimedean copula is obtained, namely the half-logistic family.
Abdulhamid A. Alzaid, Weaam M. Alhadlaq
doaj   +1 more source

Archimedean Survival Processes [PDF]

, 2011
Archimedean copulas are popular in the world of multivariate modelling as a result of their breadth, tractability, and flexibility. A. J. McNeil and J.
Hoyle, Edward, Menguturk, Levent Ali
core  

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

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

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   +1 more source