Results 181 to 190 of about 153,166 (217)

The Bivariate Normal Copula [PDF]

Communications in Statistics - Theory and Methods, 2013
We collect well known and less known facts about the bivariate normal distribution and translate them into copula language. In addition, we prove a very general formula for the bivariate normal copula, we compute Gini's gamma, and we provide improved bounds and approximations on the diagonal.
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A class of bivariate copula mappings

Fuzzy Sets and Systems, 2019
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Martynas Manstavicius, Gediminas Bagdonas   +1 more
openaire   +2 more sources

A Note on the Compatibility of Bivariate Copulas

Communications in Statistics - Theory and Methods, 2014
This article answers to a problem by Kolesarova, Mesiar, and Sempi about the class of all copulas that are compatible with two given bivariate copulas A and B. It is shown that, even if A and B are not completely dependent, the class of all copulas compatible with A and B may consist of a singleton.
Durante F, Fernández-Sánchez J
openaire   +2 more sources

Generalized bivariate copulas and their properties

Model Assisted Statistics and Applications, 2011
Copulas are useful devices to explain the dependence structure among variables by eliminating the influence of marginals. In this paper, we propose a new class of bivariate copulas to quantify dependency and incorporate it into various iterated copula families.
Jong-Min Kim 0001, Engin A. Sungur, Taeryon Choi, Tae-Young Heo   +3 more
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Bivariate copulas generated by perturbations

Fuzzy Sets and Systems, 2013
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Fabrizio Durante, Juan Fernández-Sánchez, Manuel Úbeda-Flores   +2 more
openaire   +4 more sources

A new class of bivariate copulas

Statistics & Probability Letters, 2004
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Rodríguez-Lallena, José Antonio, Úbeda-Flores, Manuel   +1 more
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Semiparametric bivariate Archimedean copulas

Computational Statistics & Data Analysis, 2011
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José Miguel Hernández-Lobato, Alberto Suárez 0001   +1 more
openaire   +3 more sources

Bivariate Contours of Copula

Communications in Statistics Part B: Simulation and Computation, 2000
Quantile functions associated with bivariate copulas are considered. Some of their structural properties are studied. Quantile functions allow one to express the cdf of the random variable C(X, Y), where (X, Y) is distributed as C(x, y) and where C is a copula. Quantile functions provide also a simple algorithm for simulating random observations.
Abderrahmane Chakak, M. Ezzerg
exaly   +2 more sources

Bivariate Option Pricing With Copulas

Applied Mathematical Finance, 2002
The adoption of copula functions is suggested in order to price bivariate contingent claims. Copulas enable the marginal distributions extracted from vertical spreads in the options markets to be imbedded in a multivariate pricing kernel. It is proved that such a kernel is a copula function, and that its super-replication strategy is represented by the
Elisa Luciano, Umberto Cherubini
exaly   +3 more sources

Construction of bivariate S-distributions with copulas

Computational Statistics & Data Analysis, 2006
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Lining Yu, Eberhard O. Voit
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