Results 71 to 80 of about 19,478 (209)
Properties of Hierarchical Archimedean Copulas [PDF]
In this paper we analyse the properties of hierarchical Archimedean copulas. This class is a generalisation of the Archimedean copulas and allows for general non-exchangeable dependency structures. We show that the structure of the copula can be uniquely
Yarema Okhrin +2 more
core
, 2016 The thesis deals with Archimedean copulas which are very popular nowadays due to easy construction and their appealing properties. At first it introduces the general definition of a copula and also shows its fundamental properties.
Vedyushenko, Anna
core
, 2023 The pairwise pseudo-likelihood estimator (PPLE) is introduced for estimating the parameters of pair-tractable copulas, so copulas with analytically or numerically tractable pairwise margins, such as Archimedean, hierarchical Archimedean, Archimax and ...
J. Górecki +3 more
core +1 more source
Lower Tail Dependence for Archimedean Copulas: Characterizations and Pitfalls [PDF]
Tail dependence copulas provide a natural perspective from which one can study the dependence in the tail of a multivariate distribution.For Archimedean copulas with continuously differentiable generators, regular variation of the generator near the ...
Charpentier, A., Segers, J.J.J.
core
Nested archimedean copulas and their applications. [PDF]
, 2016 Nested Archimedean Copulas and Their ...
Šopaitė, Modesta,
core
WORLD FINANCIAL RELATIONS: UNDERSTANDING THE CREDIT DERIVATIVE SWAPS (CDS) DEPENDENCE STRUCTURE
REAdThis study investigates the copula model that best fit to model the dependence structure of Credit Derivative Swaps (CDS) spreads. For the analysis, we consider daily data from the period of January 1, 2009 to December 31, 2014.
Fernanda Maria Müller +2 more
doaj +1 more source
COBASE: A new copula‐based shuffling method for ensemble weather forecast postprocessing
Quarterly Journal of the Royal Meteorological Society, Volume 152, Issue 777, April 2026 Part B.We propose COBASE, a novel copula‐based postprocessing methododology that combines the strengths of multivariate parametric correction with non‐parametric rank‐based approaches. We consider two case studies for multi‐site temperature in Austria and multi‐site temperature and dew‐point temperature in the Netherlands.
Maurits Flos +4 more
wiley +1 more source
A test for Archimedeanity in bivariate copula models
Journal of Multivariate Analysis, 2012 18 pages, 2 ...
Axel Bücher +2 more
openaire +3 more sources
Archimedean Copulas and Temporal Dependence [PDF]
, 2010 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 orgodicityof the ...
Beare, Brendan K.
core
Risk Times in Mission‐Oriented Systems
Quality and Reliability Engineering International, Volume 42, Issue 3, Page 1380-1398, April 2026.ABSTRACT This article assesses risk times in mission‐oriented systems with high safety standards. We examine critical times under two safety policies. The first requires that the system's reliability function, known the first failure of the components, must exceed a reliability level throughout the mission.
Antonio Arriaza +2 more
wiley +1 more source