Results 91 to 100 of about 5,414 (199)

A New Class of Production Functions and an Argument Against Purely Labor-Augmenting Technical Change [PDF]

This paper follows Jones (2005) in his approach to deriving the global production function from microfoundations. His framework is generalized by allowing for dependence between the Pareto distributions of labor- and capital-augmenting developments ...
Growiec, Jakub
core   +1 more source

Lower Tail Dependence for Archimedean Copulas: Characterizations and Pitfalls [PDF]

Tail dependence copulas provide a natural perspective from which one can study the dependence in the tail of a multivariate distribution.For Archimedean copulas with continuously differentiable generators, regular variation of the generator near the ...
Charpentier, A., Segers, J.J.J.
core   +1 more source

ON GENERATING MULTIVARIATE SAMPLES WITH ARCHIMEDEAN COPULAS [PDF]

, 2014
Archimedean copulas are one of the most known classes of copulas. They allow modeling the dependencies between variables with small number of parameters.
Stelmach, Jacek
core   +1 more source

Out-of-sample comparison of copula specifications in multivariate density forecasts [PDF]

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC).
Dijk, D. van, Diks, C.G.H., Panchenko, V.   +2 more
core  

New Bivariate Copulas via Lomax Distribution Generated Distortions

AppliedMath
We develop a framework for creating distortion functions that are used to construct new bivariate copulas. It is achieved by transforming non-negative random variables with Lomax-related distributions.
Fadal Abdullah Ali Aldhufairi, Jungsywan H. Sepanski   +1 more
doaj   +1 more source

Subsampling (weighted smooth) empirical copula processes

, 2019
A key tool to carry out inference on the unknown copula when modeling a continuous multivariate distribution is a nonparametric estimator known as the empirical copula.
Kojadinovic, Ivan, Stemikovskaya, Kristina   +1 more
core  

Proposal of a Modified Clayton Copula: Theory, Properties and Examples

European Journal of Statistics
The Clayton copula is a mathematical tool used in copula theory to model dependence between random variables. It is a notable member of the Archimedean copula family and is best known for its ability to capture tail dependence. In this article, we present a new modified variant of the Clayton copula that aims to improve its flexibility.
openaire   +1 more source

MODELING OF BIVARIATE DATA FOR DEPENDABILITY [PDF]

Fiabilitate şi Durabilitate, 2018
For technical applications the dependability generally measures availability, reliability, maintainability, and connected activities like costs.
Adrian Stere PARIS, Constantin TÂRCOLEA
doaj  

Lévy copulae for financial returns

Dependence Modeling, 2016
The paper uses Lévy processes and bivariate Lévy copulae in order to model the behavior of intraday log-returns. Based on assumptions about the form of marginal tail integrals and a Clayton Lévy copula, the model allows for capturing intraday cross ...
Okhrin Ostap
doaj   +1 more source

Testing the Homogeneity of Proportions for Correlated Bilateral Data via the Clayton Copula

Handling highly dependent data is crucial in clinical trials, particularly in fields related to ophthalmology. Incorrectly specifying the dependency structure can lead to biased inferences. Traditionally, models rely on three fixed dependence structures, which lack flexibility and interpretation.
Liang, Shuyi, Emura, Takeshi, Ma, Chang-Xing, Xin, Yijing, Huang, Xin-Wei   +4 more
openaire   +2 more sources