Results 201 to 210 of about 3,668 (232)

Ageing Concepts for Bivariate Copulas

Stochastics and Quality Control
Abstract In the present work we first discuss the structure and properties of the ageing function of the Gumbel–Barnett copula in the exchangeable case. Then we define and illustrate the ageing notions such as IFR, DMRL, NBU etc for copulas using the weak copula ageing property of the Gumbel–Barnett copula.
N. Unnikrishnan Nair, S. M. Sunoj
openaire   +1 more source

Construction of bivariate S-distributions with copulas

Computational Statistics & Data Analysis, 2006
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lining Yu, Eberhard O. Voit
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A Generalization of the Archimedean Class of Bivariate Copulas

Annals of the Institute of Statistical Mathematics, 2006
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
DURANTE, FABRIZIO, J. J. QUESADA MOLINA, SEMPI, Carlo   +2 more
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Expansions for bivariate copulas

Statistics & Probability Letters, 2015
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Regression in a bivariate copula model

Biometrika, 2000
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Oakes, David, Ritz, John
openaire   +1 more source

On bivariate Kumaraswamy-distorted copulas

Communications in Statistics - Theory and Methods, 2020
We propose families of bivariate copulas based on the Kumaraswamy distortion of existing copulas.
Ranadeera Gamage Madhuka Samanthi, Jungsywan Sepanski   +1 more
openaire   +1 more source

Fitting bivariate cumulative returns with copulas

Computational Statistics & Data Analysis, 2004
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Bivariate control chart with copula

AIP Conference Proceedings, 2015
Control chart is the main and powerful tool in statistical process control in order to detect and classify data, either in control or out of control. Its concept, basically, refers to the theory of prediction interval. Accordingly, in this paper, we aim at constructing of what so called predictive bivariate control charts, both classical and Copula ...
Tika Lestari, Khreshna Syuhada, Utriweni Mukhaiyar   +2 more
openaire   +1 more source

On Some Construction Methods for Bivariate Copulas

2013
We propose a rather general construction method for bivariate copulas, generalizing some construction methods known from the literature. In some special cases, the constraints ensuring the output of the proposed method to be a copula are given. Our approach opens several new problems in copula theory.
Radko Mesiar, Jozef Komorník, Magda Komorníková   +2 more
openaire   +1 more source

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
U. Cherubini, E. Luciano
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