Results 61 to 70 of about 4,073 (193)
Extremal attractors of Liouville copulas [PDF]
, 2017 Liouville copulas, which were introduced in McNeil and Neslehova (2010), are asymmetric generalizations of the ubiquitous Archimedean copula class. They are the dependence structures of scale mixtures of Dirichlet distributions, also called Liouville ...
Belzile, Léo R. +1 more
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Extremal behavior of Archimedean copulas [PDF]
Advances in Applied Probability, 2011 We show how the extremal behavior of d-variate Archimedean copulas can be deduced from their stochastic representation as the survival dependence structure of an ℓ1-symmetric distribution (see McNeil and Nešlehová (2009)). We show that the extremal behavior of the radial part of the representation is determined by its Williamson d-transform. This leads
Larsson, Martin, Nešlehová, Johanna
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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
Simplified Pair Copula Constructions --- Limits and Extensions [PDF]
, 2012 So called pair copula constructions (PCCs), specifying multivariate distributions only in terms of bivariate building blocks (pair copulas), constitute a flexible class of dependence models.
Czado, Claudia +2 more
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Local dependence estimation using semiparametric archimedean copulas [PDF]
Canadian Journal of Statistics, 2005 Summary: The authors define a new semiparametric Archimedean copula family which has a flexible dependence structure. The generator of the family is a local interpolation of existing generators. It has locally-defined dependence parameters. The authors present a penalized constrained least-squares method to estimate and smooth these parameters.
Vandenhende, François +1 more
openaire +3 more sources
Journal of Applied Polymer Science, Volume 142, Issue 40, October 20, 2025.Experimental Characterization and Prediction of Mechanical Properties of Anisotropic PLA Samples. ABSTRACT In this study, 48 polylactic acid (PLA) samples were produced via 3D printing, incorporating four infill geometries (gyroid, lattice, honeycomb, and linear), four infill rates (15%–60%), and three printing directions (x, y, z).
Ahmet Saylık +2 more
wiley +1 more source
Methods of Tail Dependence Estimation [PDF]
, 2012 Characterization and quantification of climate extremes and their dependencies are fundamental to the studying of natural hazards. This chapter reviews various parametric and nonparametric tail dependence coefficient estimators.
Aghakouchak, Amir +2 more
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Tail Risk Hedging: The Superiority of the Naïve Hedging Strategy
Journal of Futures Markets, Volume 45, Issue 8, Page 977-1005, August 2025.ABSTRACT Mitigating extreme tail risk is essential for institutions and corporations to prevent financial losses from severe asset price fluctuations across many asset classes. This study shows that a simple futures hedging strategy, the naïve hedge, is remarkably effective at managing tail risk—so much so that few other methods can beat it.
Min Cao, Thomas Conlon
wiley +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
Copulas in finance and insurance [PDF]
, 2008 Copulas provide a potential useful modeling tool to represent the dependence structure among variables and to generate joint distributions by combining given marginal distributions. Simulations play a relevant role in finance and insurance.
Molanes, Elisa M., Romera, Rosario
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