Results 11 to 20 of about 5,503 (149)
Estudios Económicos, 2016 En este artículo se aplican las cópulas Clayton y Gumbel con el modelo TGARCH para la distribución marginal de los rendimientos con el objeto de describir la dependencia condicional en las colas entre el precio del petróleo y el índice del mercado de ...
Arturo Lorenzo Valdés +2 more
doaj +1 more source
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
doaj +1 more source
New asymmetric perturbations of FGM bivariate copulas and concordance preserving problems
Moroccan Journal of Pure and Applied Analysis, 2023 New copulas, based on perturbation theory, are introduced to clarify a symmetrization procedure for asymmetric copulas. We give also some properties of the symmetrized copula mainly conservation of concordance.
El maazouz Mohamed, Sani Ahmed
doaj +1 more source
General Multivariate Dependence using Associated Copulas
Revstat Statistical Journal, 2016 This paper studies the general multivariate dependence and tail dependence of a random vector. We analyse the dependence of variables going up or down, covering the 2 d orthants of dimension d and accounting for non-positive dependence.
Yuri Salazar Flores
doaj +1 more source
Goodness-of-Fit Tests For Elliptical and Independent Copulas through Projection Pursuit
Algorithms, 2011 Two goodness-of-fit tests for copulas are being investigated. The first one deals with the case of elliptical copulas and the second one deals with independent copulas.
Jacques Touboul
doaj +1 more source
Characterizations of bivariate conic, extreme value, and Archimax copulas
Dependence Modeling, 2017 Based on a general construction method by means of bivariate ultramodular copulas we construct, for particular settings, special bivariate conic, extreme value, and Archimax copulas. We also show that the sets of copulas obtained in this way are dense in
Saminger-Platz Susanne +3 more
doaj +1 more source
Modeling operational risk caused by demographic factors [PDF]
, 2015 En el presente artículo de investigación, se propone una metodología para medir el riesgo financiero en empresas no financieras expuestas ante variables como tasas de mortalidad o tasas de morbilidad.
Manotas, Diego Fernando +2 more
core +2 more sources
A continuous rainfall model based on vine copulas [PDF]
Hydrology and Earth System Sciences, 2015 Copulas have already proven their flexibility in rainfall modelling. Yet, their use is generally restricted to the description of bivariate dependence.
H. Vernieuwe +3 more
doaj +1 more source
Comportamento de cópula de Spodoptera eridania (Walker) (Lepidoptera: Noctuidae). [PDF]
, 2011 Pouco se conhece sobre o comportamento de cópula de Spodoptera eridania (Walker) (Lepidoptera: Noctuidae), praga que tem ganhado importância nos últimos anos em vários cultivos agrícolas. Para tanto, foram estudados 61 casais virgens, durante oito noites
BENTO, J. M. S. +5 more
core
Copulas in Classical Probability Sense
مجلة بغداد للعلوم, 2020 Copulas are simply equivalent structures to joint distribution functions. Then, we propose modified structures that depend on classical probability space and concepts with respect to copulas.
Ahmed AL-Adilee +2 more
doaj +1 more source