Results 21 to 30 of about 5,414 (199)

Weighted Clayton Copulas and their Characterizations: Application to Probable Modeling of the Hydrology Data [PDF]

Journal of Data Science, 2021
Copulas have recently emerged as practical methods for multivariate modeling.To our knowledge, only a limited amount of work has been done to apply copula-based modeling in context analysis.In this study, we generalized Clayton copula under the appropriate weighted function.In some examples, bivariate distributions by using the weighted Clayton copula ...
Hakim Bekrizadeh, Gholam Ali Parham, Mohammad Reza Zadkarmi   +2 more
openaire   +1 more source

ESTIMASI NILAI VaR PORTOFOLIO MENGGUNAKAN FUNGSI ARCHIMEDEAN COPULA

E-Jurnal Matematika, 2017
Value at Risk explains the magnitude of the worst losses occurred in financial products investments with a certain level of confidence and time interval. The purpose of this study is to estimate the VaR of portfolio using Archimedean Copula family.
AULIA ATIKA PRAWIBTA SUHARTO, KOMANG DHARMAWAN, I WAYAN SUMARJAYA   +2 more
doaj   +1 more source

Analysis of a Risky Two Unit System under Marked Process Incorporating Two Repairmen with Vacations [PDF]

Journal of Risk Analysis and Crisis Response (JRACR), 2015
In this paper the system considered consists of two subsystems A and B. Subsystem A has only one unit whereas subsystem B consists of two homogeneous units B1 and B2. Here B2 is in hot standby with B1.
Nidhi Tiwari, S. B. Singh
doaj   +1 more source

Archimedean Copula Estimation Parameter with Kendall Distribution Function

Cumhuriyet Science Journal, 2017
In the literature, up to now, it is common thatfor Gumbel, Clayton and Frank calculated Kendall Distribution function and to the extent those applications havebeen made.
Ayşe Metın Karakas, Murat Karakas, Mine Dogan   +2 more
doaj   +1 more source

A New Family of Continuous Probability Distributions

Entropy, 2021
In this paper, a new parametric compound G family of continuous probability distributions called the Poisson generalized exponential G (PGEG) family is derived and studied. Relevant mathematical properties are derived. Some new bivariate G families using
M. El-Morshedy, Fahad Sameer Alshammari, Yasser S. Hamed, Mohammed S. Eliwa, Haitham M. Yousof   +4 more
doaj   +1 more source

Copula-Based Risk Modeling: A Comparative Analysis of MCAViaR and Gaussian Copulas for Global Indices [PDF]

Mathematics and Modeling in Finance
This study comparatively analyzes two advanced financial risk modeling frameworks: a copula-based Value-at-Risk (VaR) approach and the Multivariate Conditional Autoregressive Value-at-Risk (MCAViaR) model.
Mohammadreza Rostami, Fatemeh Rasti, Ebrahim Abbasi   +2 more
doaj   +1 more source

A mixed effect model for bivariate meta-analysis of diagnostic test accuracy studies using a copula representation of the random effects distribution [PDF]

, 2015
Diagnostic test accuracy studies typically report the number of true positives, false positives, true negatives and false negatives. There usually exists a negative association between the number of true positives and true negatives, because studies that
Arends, Aristidis K. Nikoloulopoulos, Brechmann, Chu, Chu, Chu, Chu, Demidenko, Genest, Genest, Genest, Genest, Glas, Hamza, Harbord, Harbord, Heffernan, Hua, Hult, Jackson, Jackson, Joe, Joe, Joe, Joe, Kurowicka, Kuss, Lee, Ma, Mavridis, Mavridis, Nash, Nelsen, Nikoloulopoulos, Nikoloulopoulos, Nikoloulopoulos, Nikoloulopoulos, Nikoloulopoulos, Nikoloulopoulos, Normand, Paul, Reitsma, Riley R, Rutter, Rücker, Sarmanov, Scheidler, Serfling, Shen, Sklar, Stroud, Vuong   +51 more
core   +2 more sources

A multinomial quadrivariate D-vine copula mixed model for meta-analysis of diagnostic studies in the presence of non-evaluable subjects [PDF]

, 2020
Diagnostic test accuracy studies observe the result of a gold standard procedure that defines the presence or absence of a disease and the result of a diagnostic test.
Aristidis K Nikoloulopoulos, Genest C, Nash J., Schuetz GM, Stroud AH   +4 more
core   +2 more sources

Regresi Median Pada Copula Bivariat

JTAM (Jurnal Teori dan Aplikasi Matematika), 2019
Abstrak: Analisis regresi adalah analisis yang sering digunakan dalam segala bidang yang bertujuan untuk memodelkan hubungan antara dua jenis variabel tak bebas dengan satu atau variabel bebas. Regresi linier masih memiliki beberapa kekurangan, maka dari
Geraldus Anggoro Rinadi, Leopoldus Ricky Sasongko, Bambang Susanto   +2 more
doaj   +1 more source

Pair-copula constructions of multiple dependence [PDF]

, 2006
Building on the work of Bedford, Cooke and Joe, we show how multivariate data, which exhibit complex patterns of dependence in the tails, can be modelled using a cascade of pair-copulae, acting on two variables at a time.
Aas, Kjersti, Bakken, Henrik, Czado, Claudia, Frigessi, Arnoldo   +3 more
core   +2 more sources