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Data‐based analysis of bivariate copula tail dependence for drought duration and severity [PDF]

Hydrological Processes, 2013
In recent decades, copula functions have been applied in bivariate drought duration and severity frequency analysis. Among several potential copulas, Clayton has been mostly used in drought analysis. In this research, we studied the influence of the tail
Tong Lee, T B M J Ouarda
exaly   +2 more sources

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Wind Speed Prediction for Wind Farm Based on Clayton Copula Function and Deep Learning Fusion

2021 IEEE 4th International Electrical and Energy Conference (CIEEC), 2021
Complex spatio-temporal dependencies exist between wind speed (WS) of various wind turbines (WT) in wind farm (WF), which brings great difficulties to obtain accurate WS-prediction (WSP) results. Analyzing the spatio-temporal dependency of WS, clarifying the mutual influence between WT, and constructing high-precision wind- speed prediction models are ...
Bingzhe Zhang, Qixian Li, Huizhen Pang, Jing Xu, Yu Huang   +4 more
openaire   +1 more source

An Estimation of Distribution Algorithm Based on Clayton Copula and Empirical Margins

2010
Estimation of Distribution Algorithms (EDAs) are new evolutionary algorithms which based on the estimation and sampling the distribution model of the selected population in each generation. The way of copula used in EDAs is introduced in this paper. The joint distribution of the selected population is separated into the univariate marginal distribution
L. F. Wang, Y. C. Wang, J. C. Zeng, Y. Hong   +3 more
openaire   +1 more source

Bivariate Lomax Distribution Based on Clayton Copula: Estimation and Prediction

journal of Statistics Applications & Probability
Lomax distribution has been studied by many statisticians due to its important role in reliability modeling and lifetime testing. The bivariate Lomax distribution is an important lifetime distribution in survival analysis. In this article, a bivariate Lomax distribution is constructed based on Clayton copula.
A. Fayomi, R. M. Refaey, G. R. AL-Dayian, A. A. EL-Helbawy, A. A. M. Mahmoud, M. Abd Elaal   +5 more
openaire   +1 more source

A Multi-population Parallel Estimation of Distribution Algorithms Based on Clayton and Gumbel Copulas

2011
The idea of multi-population parallel strategy and the copula theory are introduced into the Estimation of Distribution Algorithm (EDA), and a new parallel EDA is proposed in this paper. In this algorithm, the population is divided into some subpopulations. Different copula is used to estimate the distribution model in each subpopulation.
Chunyan Chang, Lifang Wang
openaire   +1 more source

Contagion between World and Emerging Islamic Equity Markets: An Application of Clayton Copula Technique

Foundation University Journal of Business & Economics, 2020
The aim of this study is to examine the contagion between the world Islamic equity market and selected emerging Islamic equity markets including Bahrain, Bangladesh, Egypt, Indonesia, Malaysia, Pakistan, Qatar, Saudi Arabia, Turkey and UAE. We applied Clayton Copula technique using daily MSCI Islamic indices data from 1st September 2010 to 30th ...
Waqar Haider Hashmi, Dr. Abdul Qayyum Khan, Khurram Shaheen   +2 more
openaire   +1 more source

Clayton copula value-at-risk in crisis and the gold optimal weight: evidence in Thailand

2023
In recent days, investors are facing higher market risk due to the pandemic situation, but this is not the only time, investors also experienced similar risk during the Global Financial Crisis in 2007. We are interested in the tool to accurately estimate the market risk and ways to keep the portfolio maintaining the good performance in the extreme ...
openaire   +1 more source

MODELING PORTFOLIO LOSS DEPENDENCE USING FRÉCHET DISTRIBUTION AND NESTED CLAYTON COPULAS

Far East Journal of Theoretical Statistics
In modern financial analysis, stochastic models are increasingly used to assess potential outcomes in risky environments. This paper proposes an approach to modeling the dependence of losses within a large portfolio, using the Fréchet distribution to describe the stochastic behavior of default times and a three-level nested Archimedean copula of the ...
Wendkouni Yaméogo, Ibrahim ZANGRÉ, Alexis Tapsoba   +2 more
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Modified inference function for margins for the bivariate clayton copula-based SUN Tobit Model

Journal of Applied Statistics, 2016
ABSTRACTThis paper extends the analysis of the bivariate Seemingly Unrelated Regression (SUN) Tobit model by modeling its nonlinear dependence structure through the Clayton copula. The ability to capture/model the lower tail dependence of the SUN Tobit model where some data are censored (generally, left-censored at zero) is an useful feature of the ...
F. Louzada, P. H. Ferreira
openaire   +1 more source

Nonconvex Functions Optimization Using an Estimation of Distribution Algorithm Based on a Multivariate Extension of the Clayton Copula

2014
This paper presents a copula-based estimation of a distribution algorithm with parameter updating for numeric optimization problems. This model implements an estimation of a distribution algorithm using a multivariate extension of Clayton’s bivariate copula (MEC-EDA) to estimate the conditional probability for generating a population of individuals ...
Harold D. de Mello Jr., André Vargas Abs da Cruz, Marley Maria Bernardes Rebuzzi Vellasco   +2 more
openaire   +1 more source