Results 51 to 60 of about 41,008 (203)
New Families of Bivariate Copulas via Unit Lomax Distortion
Risks, 2020 This article studies a new family of bivariate copulas constructed using the unit-Lomax distortion derived from a transformation of the non-negative Lomax random variable into a variable whose support is the unit interval.
Fadal Abdullah-A Aldhufairi +2 more
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Theoretical Study of Some Angle Parameter Trigonometric Copulas
Modelling, 2022 Copulas are important probabilistic tools to model and interpret the correlations of measures involved in real or experimental phenomena. The versatility of these phenomena implies the need for diverse copulas.
Christophe Chesneau
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ARCHIMEDEAN COPULAS AND TEMPORAL DEPENDENCE [PDF]
Econometric Theory, 2012 We study the dependence properties of stationary Markov chains generated by Archimedean copulas. Under some simple regularity conditions, we show that regular variation of the Archimedean generator at zero and one implies geometric ergodicity of the associated Markov chain.
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Residual Probability Function for Dependent Lifetimes
Mathematics, 2021 In this paper, the residual probability function is applied to analyze the survival probability of two used components relative to each other in the case when their lifetimes are dependent. The expression of the function by copulas has been derived along
Mhamed Mesfioui, Mohamed Kayid
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A Note on Upper Tail Behavior of Liouville Copulas
Risks, 2016 The family of Liouville copulas is defined as the survival copulas of multivariate Liouville distributions, and it covers the Archimedean copulas constructed by Williamson’s d-transform.
Lei Hua
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From Archimedean to Liouville copulas
Journal of Multivariate Analysis, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Alexander J. McNeil, Johanna Neslehová
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Fitting Compound Archimedean Copulas to Data for Modeling Electricity Demand
International Journal of Statistics and Probability, 2021 Modeling dependence between random variables is accomplished effectively by using copula functions. Practitioners often rely on the single parameter Archimedean family which contains a large number of functions, exhibiting a variety of dependence ...
Moshe Kelner, Z. Landsman, U. Makov
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Time Varying Hierarchical Archimedean Copulae [PDF]
SSRN Electronic Journal, 2010 There is increasing demand for models of time-varying and non-Gaussian dependencies for multivariate time-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A promising class of models are the hierarchical Archimedean copulae (HAC) that allow for non-exchangeable and non ...
Wolfgang Karl Härdle +2 more
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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 +1 more
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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
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