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On copula moment: empirical likelihood based estimation method [PDF]
Arab Journal of Mathematical Sciences, 2022 Purpose – In this paper, the authors applied the empirical likelihood method, which was originally proposed by Owen, to the copula moment based estimation methods to take advantage of its properties, effectiveness, flexibility and reliability of the ...
Jihane Abdelli, Brahim Brahimi
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Pairs Trading; A Comparison between Student-t and Vine Copulas [PDF]
تحقیقات مالی, 2022 Objective: The main purpose of the present research was to compare the performance of pairs trading based on the Vine Copula, Student's t Copula, and Distance approaches. This was done for the first time on the Tehran Stock Exchange (TSE).
Maryam Davallou, Ardavan Yazdi
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Construction of a bivariate copula by Rüschendorf’s method
Cumhuriyet Science Journal, 2021 In this paper, a new copula model with given unit marginals is proposed, based on Rüschendorf’s Method. A new bivariate copula family is introduced by adding a proper term to independence copula. Thus, we avoid the complexity of the proposed copula model.
Mehmet Yılmaz, Muhammet Bekçı
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A New Form of Farlie-Gumbel-Morgenstern Copula: A Comparative Simulation Study and Application
Journal of Statistical Theory and Applications (JSTA), 2021 In this study a new mixture copula has been obtained by creating a linear combination of product copula with copula which is obtained with marginal distributions of order statistics which was proposed by Dolati and Úbeda-Flores, Kybernetika.
Ferhan Baş Kaman, Hülya Olmuş
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A New Family of Archimedean Copulas: The Half-Logistic Family of Copulas
Mathematics, 2023 In this research, we introduce a truncation of the half-logistic distribution function as a multiplicative Archimedean generator. The corresponding Archimedean copula is obtained, namely the half-logistic family.
Abdulhamid A. Alzaid, Weaam M. Alhadlaq
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A Review of Copula-Based Approach for Water Resources Time Series [PDF]
Water Harvesting Research, 2023 This research investigates the utilization of copula functions in the water resources field, encompassing meteorological and hydrological aspects. A review of the Web of Sciences archive revealed 15143 studies featuring copula keywords.
Mohammad Nazeri Tahroudi +3 more
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Scientific Reports, 2022 Copula functions are widely used for modeling multivariate dependence. Since the multivariate data may not necessarily be linear and Gaussian, the copula model is very often brought into the picture for modeling such multivariate phenomena.
K. Dinda, B. Samanta, D. Chakravarty
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Copula in Wildfire Analysis: A Systematic Literature Review
InPrime, 2021 Copula model is a method that can be implemented in various study fields, including analyzing wildfires. The copula distribution function gives a simple way to define joint distribution between two or more random variables.
Mohamad Khoirun Najib +2 more
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Multivariate Extension of Raftery Copula
Mathematics, 2023 This paper introduces a multivariate extension of Raftery copula. The proposed copula is exchangeable and expressed in terms of order statistics. Several properties of this copula are established.
Tariq Saali, Mhamed Mesfioui, Ani Shabri
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The application of the hybrid copula-GARCH approach in the simulation of extreme discharge values
Applied Water Science, 2022 Statistical analysis and simulation of annual maximum discharge values, while considering the corresponding maximum daily rainfall, provide a comprehensive view of flood management.
Mohammad Nazeri Tahroudi +2 more
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