Results 51 to 60 of about 18,813 (205)
Goodness‐of‐Fit Tests for Positive Quadrant Dependence
International Statistical Review, EarlyView.Summary When two random variables are positive quadrant dependent (PQD), they are more likely to assume small (or large) values simultaneously compared with when the random variables are independent. This dependence structure is of interest in many areas, including finance, actuarial science and engineering.
Chuan‐Fa Tang, Joshua M. Tebbs
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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
Moving Aggregate Modified Autoregressive Copula‐Based Time Series Models (MAGMAR‐Copulas)
Journal of Time Series Analysis, EarlyView.ABSTRACT Copula‐based time series models can model univariate and stationary time series in a flexible way by decomposing the joint distribution of consecutive observations into a copula and the stationary distribution. Implicitly, this approach assumes a finite Markov order. In reality, a time series may not follow the Markov property.
Sven Pappert
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Land Degradation &Development, Volume 37, Issue 15, Page 10658-10671, September 2026.ABSTRACT Real‐time flood control operation of multi‐reservoir systems is affected by multiple sources of hydrological and operational uncertainties, which increase the complexity of risk propagation and decision‐making processes. Therefore, effective risk assessment and diagnosis are essential for supporting risk‐informed flood control operation.
Juan Chen +5 more
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Water Resources Research, Volume 62, Issue 9, September 2026.Abstract Pollution and deposition of sediments in rivers and streams are critical environmental, ecological, navigational, and recreational concerns. While several well‐known watershed models such as SWAT (Soil and Water Assessment Tool) and HSPF (Hydrological Simulation Program‐FORTRAN) are applied to predict sediment concentrations and loads in ...
Ying Ouyang
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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
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Climate‐Mode Precursors and the Predictability of Amazon Hot and Dry Extremes
Earth's Future, Volume 14, Issue 8, August 2026.Abstract We characterize the dependence between lagged large‐scale climate modes and Amazon climate extremes and assess whether monthly precursor signals enable early warning of compound hot‐dry events. A copula‐based framework analyses tail dependence between major climate drivers and precipitation and temperature anomalies at multiple lags ...
Sanaa Hobeichi +5 more
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ON GENERATING MULTIVARIATE SAMPLES WITH ARCHIMEDEAN COPULAS
Acta Universitatis Lodziensis. Folia Oeconomica, 2014 Archimedean copulas are one of the most known classes of copulas. They allow modeling the dependencies between variables with small number of parameters.
Jacek Stelmach
doaj
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
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Water Resources Research, Volume 62, Issue 7, July 2026.Abstract Compound flooding in coastal environments arises from the interaction of extreme precipitation and elevated coastal water levels. Existing approaches typically rely either on process‐based hydrodynamic simulations or statistical characterizations of hazard drivers, constraining the capacity to quantify the contribution of individual mechanisms
Stergios Emmanouil +4 more
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