Results 11 to 20 of about 32,012 (272)
New Families of Bivariate Copulas via Unit Lomax Distortion
Risks, 2020 This article studies a new family of bivariate copulas constructed using the unit-Lomax distortion derived from a transformation of the non-negative Lomax random variable into a variable whose support is the unit interval.
Fadal Abdullah-A Aldhufairi +2 more
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Matrix-Tilted Archimedean Copulas
Risks, 2021 The new class of matrix-tilted Archimedean copulas is introduced. It combines properties of Archimedean and elliptical copulas by introducing a tilting matrix in the stochastic representation of Archimedean copulas, similar to the Cholesky factor for ...
Marius Hofert, Johanna F. Ziegel
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Modelling count data via copulas [PDF]
Statistics (Berlin), 2020 Copula models have been widely used to model the dependence between continuous random variables, but modelling count data via copulas has recently become popular in the statistics literature. Spearman's rho is an appropriate and effective tool to measure
Hadi Safari-Katesari +2 more
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On weak conditional convergence of bivariate Archimedean and Extreme Value copulas, and consequences to nonparametric estimation [PDF]
, 2020 Looking at bivariate copulas from the perspective of conditional distributions and considering weak convergence of almost all conditional distributions yields the notion of weak conditional convergence.
Thimo M. Kasper, S. Fuchs, W. Trutschnig
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Statistics, Optimization & Information Computing, 2021 A new two-parameter lifetime distribution is proposed and numerically studied. The new model has a flflexible failure rate shapes such as “monotonically increasing” , “monotonically decreasing” , “bathtub” , “constant” , “upside down” and “J-shape ...
Wahid A. M. Shehata, Haitham Yousof
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On the Size of Subclasses of Quasi-Copulas and Their Dedekind–MacNeille Completion
Mathematics, 2020 We study some topological properties of the class of supermodular n-quasi-copulas and check that the topological size of the Dedekind–MacNeille completion of the set of n-copulas is small, in terms of the Baire category, in the Dedekind–MacNeille ...
Fabrizio Durante +3 more
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Polynomial bivariate copulas of degree five: characterization and some particular inequalities
Dependence Modeling, 2021 Bivariate polynomial copulas of degree 5 (containing the family of Eyraud-Farlie-Gumbel-Morgenstern copulas) are in a one-to-one correspondence to certain real parameter triplets (a, b, c), i.e., to some set of polynomials in two variables of degree 1: p(
Šeliga Adam +5 more
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Baire category results for quasi–copulas
Dependence Modeling, 2016 The aim of this manuscript is to determine the relative size of several functions (copulas, quasi– copulas) that are commonly used in stochastic modeling.
Durante Fabrizio +2 more
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A Note on Upper Tail Behavior of Liouville Copulas
Risks, 2016 The family of Liouville copulas is defined as the survival copulas of multivariate Liouville distributions, and it covers the Archimedean copulas constructed by Williamson’s d-transform.
Lei Hua
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Forecasted Scenarios of Regional Wind Farms Based on Regular Vine Copulas
Journal of Modern Power Systems and Clean Energy, 2020 Owing to the uncertainty and volatility of wind energy, forecasted wind power scenarios with proper spatio-temporal correlations are needed in various decision-making problems involving power systems.
Zhao Wang +3 more
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