Results 51 to 60 of about 19,478 (209)
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
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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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Right-truncated Archimedean and related copulas
, 2021 The copulas of random vectors with standard uniform univariate margins truncated from the right are considered and a general formula for such right-truncated conditional copulas is derived.
Hofert, Marius
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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
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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
wiley +1 more source
Nonparametric Conditional Copula Density Estimation With Applications to the Body Mass Index
Stat, Volume 15, Issue 4, December 2026.ABSTRACT This study develops a nonparametric conditional copula density estimator that features a parametric carrier copula refined by an exponential series adjustment. We adopt the local likelihood approach for conditional distribution estimation and incorporate the influence of covariates via kernel smoothing.
Michael Z. Wu, Lan Zhou
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Spatial and Temporal Patterns of Extreme Hourly Rainfall in the Hawaiian Islands
International Journal of Climatology, Volume 46, Issue 12, October 2026.The extreme rainfall trends in Hawaiʻi were revealed by hourly rainfall data: Across islands, Kauaʻi and Hawaiʻi Island had larger events at a return period. Annual maximum series of 15 gauges showed significant positive trends. While extreme rainfall trends show increases or decreases regionally, the trends varied with rainfall duration.
Maxime Gayte +5 more
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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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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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