Results 111 to 120 of about 27,516 (250)
Estimating the Joint Probability of Scenario Parameters With Gaussian Mixture Copula Models
IEEE Open Journal of Intelligent Transportation SystemsThis paper presents the first application of Gaussian Mixture Copula Models to the statistical modeling of driving scenarios for the safety validation of automated driving systems. Knowledge of the joint probability distribution of scenario parameters is
Christian Reichenbacher +3 more
doaj +1 more source
Efficient Estimation of Copula-based Semiparametric Markov Models [PDF]
This paper considers efficient estimation of copula-based semiparametric strictly stationary Markov models. These models are characterized by nonparametric invariant (one-dimensional marginal) distributions and parametric bivariate copula functions ...
Yanping Yi, Xiaohong Chen, Wei Biao Wu
core
, 2018 <p>Bayesian copula selection algorithms.</p> <p>Library of MatLab functions to estimate the probability of different copula models given a joint distribution of fractiles.</p ...
David Huard, Évin, Guillaume
core +1 more source
Quarterly Journal of the Royal Meteorological Society, EarlyView.Numerical weather prediction output necessitates calibration, as weather model systems are unable to replicate the correct statistics of observations. Such processing is especially important when predicting extreme weather. Calibration methods function by learning from prediction inadequacies during a training phase and by exploiting this information ...
Dmitrij Japs +3 more
wiley +1 more source
Efficient Modeling of the Energy Sector Using a New Bivariate Copula
MathematicsCopulas are a useful tool to generate bivariate distributions from the univariate marginals. This method is also useful to generate bivariate families of distributions. In this paper, a new copula has been proposed. Some useful properties of the proposed
Jumanah Ahmed Darwish +1 more
doaj +1 more source
Dependence Modeling, 2018 The family of Clayton copulas is one of the most widely used Archimedean copulas for dependency measurement. A major drawback of this copula is that when it accounts for negative dependence, the copula is nonstrict and its support is dependent on the ...
Cooray Kahadawala
doaj +1 more source
Convex Lineability in Copula and Quasi-copula Sets
Mediterranean Journal of MathematicsAbstract In this paper, we investigate several subsets of n-copulas and n-quasi-copulas from the perspective of convex-lineability and the recently introduced concept of convex-spaceability. Our purpose is to determine when such families contain extremely large algebraic structures, namely linearly independent sets of
Amo Artero, Enrique de +3 more
openaire +3 more sources
The Shape of the Optimal Hedge Ratio: Modeling Joint Spot-Futures Prices using an Empirical Copula-GARCH Model [PDF]
Commodity cash and futures prices have been rising steadily since 2006. As evidenced by the April 2008 Commodity Futures Trading Commission Agricultural Forum, there is much concern among traditional futures and options market participants that the ...
Power, Gabriel J., Vedenov, Dmitry V.
core
Quarterly Journal of the Royal Meteorological Society, EarlyView.A fair sample size and dimension dependent version of the Box ordinate transform (BOT) is derived to assess the calibration of predictions of multivariate outcomes sampling a multivariate Gaussian distribution. Simulation studies confirm that the fair Gaussian sample BOT is capable of identifying miscalibration correctly even for small sample sizes. It
Sándor Baran, Martin Leutbecher
wiley +1 more source
Fuzzy Sets and SystemsIn this paper, we study discrete quasi-copulas associated with imprecise copulas. We focus on discrete imprecise copulas that are in correspondence with the Alternating Sign Matrices and provide some construction techniques of dual pairs. Additionally, we show how to obtain (full-domain) self-dual imprecise copulas through patchwork techniques.
Tomaž Košir, Elisa Perrone
openaire +4 more sources