Results 101 to 110 of about 3,668 (232)
Bivariate Cox model and copulas
, 2009 This paper introduces a new class of Cox models for dependent bivariate data. The impact of the covariate on the dependence of the variables is captured through the modification of their copula. Various classes of well known copulas are stable under the model (archimedean type and extreme value copulas), meaning that the role of the covariate acts in a
Achibi, Mohamed, Broniatowski, Michel
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Alexandria Engineering JournalThis paper presents a bivariate power Lomax Sarmanov distribution (BPL-SARD) constructed from Sarmanov copulas and power Lomax (PL) marginal distributions.
M.A. Abd Elgawad +7 more
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Copulas and bivariate risk measures : an application to hedge funds [PDF]
With hedge funds, managers develop risk management models that mainly aim to play on the effect of decorrelation. In order to achieve this goal , companies use the correlation coefficient as an indicator for measuring dependencies existing between (i ...
Makram Ben Dbadis, Rihab Bedoui
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Bivariate Flood Frequency Analysis Using the Copula Functions [PDF]
علوم و مهندسی آبیاری, 2015 In the conventional methods of flood frequency analysis, the flood peak variable is just considered and assumed that this variable follows some specific parametric distribution function.
meysam salari +3 more
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Asymptotic properties of the Bernstein density copula for dependent data [PDF]
Copulas are extensively used for dependence modeling. In many cases the data does not reveal how the dependence can be modeled using a particular parametric copula. Nonparametric copulas do not share this problem since they are entirely data based.
ROMBOUTS, Jeroen V.K. +2 more
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A Copula Discretization of Time Series-Type Model for Examining Climate Data
MathematicsThe study presents a comparative analysis of climate data under two scenarios: a Gaussian copula marginal regression model for count time series data and a copula-based bivariate count time series model.
Dimuthu Fernando +2 more
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A method to select bivariate copula functions
, 2019 Summary: Copula functions have been extensively used in applied statistics, becoming a good alternative for modeling the dependence of multivariate data. Each copula function has a different dependence structure. An important issue in these applications is the choice of an appropriate copula function model for each case where standard classical or ...
Tovar Cuevas, José Rafael +2 more
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In this paper we deal with the identification of dependencies between time series of equity returns. Marginal distribution functions are assumed to be known, and a bivariate chi-square test of fit is applied in a fully parametric copula approach. Several
Antonio Alegre Escolano +1 more
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Efficient Estimation of Copula-based Semiparametric Markov Models [PDF]
This paper considers efficient estimation of copula-based semiparametric strictly stationary Markov models. These models are characterized by nonparametric invariant (one-dimensional marginal) distributions and parametric bivariate copula functions ...
Yanping Yi, Xiaohong Chen, Wei Biao Wu
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AxiomsThis paper addresses the limitations of existing bivariate generalized exponential (GE) distributions for modeling lifetime data, which often exhibit rigid dependence structures or non-GE marginals.
Carlos A. dos Santos +4 more
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