Results 51 to 60 of about 4,162 (190)
Hyperbolic and Trigonometric Generators of Archimedean Copulas: Characteristics and Performance [PDF]
Sahand Communications in Mathematical AnalysisIn 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 +3 more
doaj +1 more source
ESTIMASI NILAI VaR PORTOFOLIO MENGGUNAKAN FUNGSI ARCHIMEDEAN COPULA
E-Jurnal Matematika, 2017 Value at Risk explains the magnitude of the worst losses occurred in financial products investments with a certain level of confidence and time interval. The purpose of this study is to estimate the VaR of portfolio using Archimedean Copula family.
AULIA ATIKA PRAWIBTA SUHARTO +2 more
doaj +1 more source
A Collection of New Trigonometric- and Hyperbolic-FGM-Type Copulas
AppliedMath, 2023 Copula analysis was created to explain the dependence of two or more quantitative variables. Due to the need for in-depth data analysis involving complex variable relationships, there is always a need for new copula models with original features.
Christophe Chesneau
doaj +1 more source
Theoretical Validation of New Two-Dimensional One-Variable-Power Copulas
Axioms, 2023 One of the most effective ways to illustrate the relationship between two quantitative variables is to describe the corresponding two-dimensional copula.
Christophe Chesneau
doaj +1 more source
Algorithms, 2020 In this paper, we develop a novel computation model of Intuitionistic Fuzzy Values with the usage of fuzzy negations and Archimedean copulas. This novel computation model’s structure is based on the extension of the existing operations of intuitionistic ...
Stylianos Giakoumakis +1 more
doaj +1 more source
Probabilistic modelling of the dependence between rainfed crops and drought hazard [PDF]
Natural Hazards and Earth System Sciences, 2019 Extreme weather events, such as droughts, have been increasingly affecting the agricultural sector, causing several socio-economic consequences. The growing economy requires improved assessments of drought-related impacts in agriculture, particularly ...
A. F. S. Ribeiro +5 more
doaj +1 more source
An overview of the goodness-of-fit test problem for copulas
, 2012 We review the main "omnibus procedures" for goodness-of-fit testing for copulas: tests based on the empirical copula process, on probability integral transformations, on Kendall's dependence function, etc, and some corresponding reductions of dimension ...
Fermanian, Jean-David
core +1 more source
Hybrid Clayton-Frank Convolution-Based Bivariate Archimedean Copula
Journal of Probability and Statistics, 2018 This study exploits the closure property of the converse convolution operator to come up with a hybrid Clayton-Frank Archimedean copula for two random variables.
Maxwell Akwasi Boateng +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
Constructing and generalizing multivariate copulas: a generalizing approach [PDF]
Recently, Liebscher (2006) introduced a general construction scheme of d-variate copulas which generalizes the Archimedean family. Similarly, Morillas (2005) proposed a method to obtain a variety of new copulas from a given d-copula.
Fischer, Matthias J., Köck, Christian
core