Results 111 to 120 of about 3,668 (232)

Continuous correlated beta processes

, 2011
In this paper we consider a (possibly continuous) space of Bernoulli experiments. We assume that the Bernoulli distributions are correlated. All evidence data comes in the form of successful or failed experiments at different points. Current state-of-the-
Goetschalckx, R., Hoey, J., Poupart, P.
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Improving Upon the Marginal Empirical Distribution Functions when the Copula is Known

At the heart of the copula methodology in statistics is the idea of separating marginal distributions from the dependence structure. However, as shown in this paper, this separation is not to be taken for granted: in the model where the copula is known ...
Werker, B.J.M., Akker, R. van den, Segers, J.J.J.   +2 more
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Copulas in finance and insurance [PDF]

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. They are used
Elisa M. Molanes, Rosario Romera
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Estimating value at risk and optimal hedge ratio in Latin markets: a copula-based GARCH approach [PDF]

In this paper we use a copula-based GARCH model to estimate conditional variances and covariances of the bivariate relationships between U.S. market with Brazilian, Argentinean and Mexican markets. To that we used daily prices of S&P500, Ibovespa, Merval
Marcelo Brutti Righi, Paulo Sérgio Ceretta   +1 more
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Convergence of Archimedean Copulas

Convergence of a sequence of bivariate Archimedean copulas to another Archimedean copula or to the comonotone copula is shown to be equivalent with convergence of the corresponding sequence of Kendall distribution functions.No extra differentiability ...
Charpentier, A., Segers, J.J.J.
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Modelling multi-output stochastic frontiers using copulas [PDF]

, 2009
The aim of this work is to introduce a new econometric methodology for multi-output production frontiers. In the context of a system of frontier equations, we use a flexible multivariate distribution for the inefficiency error term.
Steel, Mark F. J., Carta, Alessandro
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bizicount: Bivariate Zero-Inflated Count Copula Regression Using R

Journal of Statistical Software
Two common issues arise in regression modelling of bivariate count data: (i) dependence across outcomes, and (ii) excess zero counts (i.e., zero inflation).
John M. Niehaus, Lin Zhu, Scott J. Cook, Mikyoung Jun   +3 more
doaj   +1 more source

A class of bivariate copula mappings.

, 2021
In this thesis we analyze one particular mapping in the set of bivariate copulas, which allows flexible construction of new copulas and families of copulas. In particular, we suggest mapping which depends on a univariate function.
Bagdonas, Gediminas,
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A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting [PDF]

World economies, and especially European ones, have become strongly interconnected in the last decades and a joint modelling is required. We propose here the use of Copulas to build flexible multivariate distributions, since they allow for a rich ...
Dean Fantazzini, Alessandro Carta, Mario A. Maggi, Carluccio Bianchi, Maria Elena De Giuli   +4 more
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A Method of Moments Estimator of Tail Dependence in Elliptical Copula Models

An elliptical copula model is a distribution function whose copula is that of an elliptical distri- bution. The tail dependence function in such a bivariate model has a parametric representation with two parameters: a tail parameter and a correlation ...
Krajina, A.
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