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Interval Estimation of the Dependence Parameter in Bivariate Clayton Copulas
Emerging Science Journal, 2023 In various disciplines, discerning dependencies between variables remains a crucial undertaking. While correlation measures like Pearson, Spearman, and Kendall provide insight into the degree of two-variable relationships, they fall short of revealing the intricate structure of dependencies between these variables.
Unyamanee Kummaraka +1 more
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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 +2 more
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Modeling Insurance Claim Distribution via Mixture Distribution and Copula [PDF]
تحقیقات مالی, 2017 This paper analyses whether joint probability distribution function of losses due to different exposures covered under the same policy could be modeled in an appropriate manner via mixture distribution proposed and copula concept.
Saeed Bajalan +2 more
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Clayton copula and mixture decomposition [PDF]
, 2005 . A symbolic variable is often described by a histogram. More gener-ally, it can be provided in the form of a continuous distribution. In this case, the problem is to solve the most frequent problem in data mining, namely: to classify the objects ...
Cuvelier, Etienne +1 more
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Bivariate analysis of typical hydrological series of the yellow river [PDF]
International Journal of Computational Intelligence Systems, 2014 This paper uses Gumbel-Hougaard (G-H) copula, Clayton copula and Frank copula to construct joint distributions of hydrological variables of the two typical stations on the Yellow River Region, including the annual maximum flood magnitude (AMFM), the ...
Xin Tong +4 more
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On the Use of Copula for Quality Control Based on an AR(1) Model
Mathematics, 2021 Manufacturing for a multitude of continuous processing applications in the era of automation and ‘Industry 4.0’ is focused on rapid throughput while producing products of acceptable quality that meet customer specifications.
Timothy M. Young +2 more
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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 +2 more
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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
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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 +3 more
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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 +4 more
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