Results 111 to 120 of about 153,166 (217)

A Copula Discretization of Time Series-Type Model for Examining Climate Data

Mathematics
The 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, Olivia Atutey, Norou Diawara   +2 more
doaj   +1 more source

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
core  

Estimation of Copula-Based Semiparametric Time Series Models [PDF]

This paper studies the estimation of a class of copula-based semiparametric stationary Markov models. These models are characterized by nonparametric invariant (or marginal) distributions and parametric copula functions that capture the temporal ...
Yanqin Fan, Xiaohong Chen
core  

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
core  

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
core  

Reliability Inference for Bivariate Lifetimes With Odd Fréchet Half-Logistic Marginals Under Unified Hybrid Censoring

Journal of Mathematics
A bivariate lifetime model is proposed by coupling odd Fréchet half-logistic (OFHL) marginals with the Farlie–Gumbel–Morgenstern (FGM) copula under a unified hybrid censoring (UHC) scheme introducing UHC for bivariate lifetime models for the first time ...
Ehab M. Almetwally
doaj   +1 more source

Bayesian Inference for Copula-Linked Bivariate Generalized Exponential Distributions: A Comparative Approach

Axioms
This 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, Saralees Nadarajah, Fernando A. Moala, Hassan S. Bakouch, Shuhrah Alghamdi   +4 more
doaj   +1 more source

Enjoy the Joy of Copulas: With a Package copula [PDF]

Copulas have become a popular tool in multivariate modeling successfully applied in many fields. A good open-source implementation of copulas is much needed for more practitioners to enjoy the joy of copulas.
Jun Yan
core  

A Bayesian copula model for stochastic claims reserving [PDF]

We present a full Bayesian model for assessing the reserve requirement of multiline Non-Life insurance companies. Bayesian models for claims reserving allow to account for expert knowledge in the evaluation of Outstanding Loss Liabilities, allowing the ...
Luca Regis
core  

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