Results 131 to 140 of about 27,516 (250)
Copula Based Semiparametric Regressive Models
This paper studies the estimation of copula-based semi parametric stationary Markov models. Described models allow us evaluate the parameters of copula, which has the best fit to previously selected model (simple estimators of the marginal distribution ...
Fjodorovs, Jegors, Matvejevs, Andrejs
core
Small Sample Properties of Copula-GARCH Modelling: A Monte Carlo Study [PDF]
Copula-GARCH models have been recently proposed in the financial literature as a statistical tool to build flexible multivariate distributions. Our extensive simulation studies investigate the small sample properties of these models and examine how ...
Dean Fantazzini +3 more
core
CAAI Transactions on Intelligence Technology, EarlyView.ABSTRACT Feature selection (FS) is a critical preprocessing approach for enhancing the quality of feature sets in various real‐world applications. Due to diverse relationships among features in high‐dimensional data sets, various features exhibit differing levels of importance and correlation with the target, which makes it challenging to effectively ...
Jiankai Xue, Huihui Tong, Zhengkai Wang
wiley +1 more source
A nonparametric copula based test for conditional independence with applications to granger causality [PDF]
, 2009 This paper proposes a new nonparametric test for conditional independence, which is based on the comparison of Bernstein copula densities using the Hellinger distance.
Taamouti, Abderrahim +7 more
core +1 more source
Median and quantile conditional copulas
Dependence ModelingThis article studies the conditional dependency between random variables, conditionally upon a covariate (vector). The conditional copula fully characterizes this conditional dependency.
Gijbels Irène, Matterne Margot
doaj +1 more source
Copula Operad and Copula Entropy
We construct a symmetric operad $\mathfrak{C}$ on the class of all multivariate copulas, where operadic composition is given by Sklar substitution. We prove that the absolutely continuous subclass $\mathfrak{C}^{ac}$---which coincides with the $L^1$ class of copula densities---forms a suboperad; under composition, the density of the composite copula is
openaire +3 more sources
Modeling the Dependency Structure of Stock Index Returns using a Copula Function Approach [PDF]
In the present study we assess the dependency structure between stock indexes by econometrically estimating the empirical copula function and the parameters of various parametric copula functions.
Necula, Ciprian
core
Functional Ecology, EarlyView.Read the free Plain Language Summary for this article on the Journal blog. Abstract Soil food web models are essential for linking animal diversity to carbon and nutrient cycling. However, it is unclear how soil animals regulate excess carbon when nutrient availability limits their growth and how to best represent animal respiration in these models. To
Robert W. Buchkowski +8 more
wiley +1 more source
Spatial Dependence in Wind and Optimal Wind Power Allocation: A Copula Based Analysis [PDF]
The investment decision on the placement of wind turbines is, neglecting legal formalities, mainly driven by the aim to maximize the expected annual energy production of single turbines.
Schnieders, Julius, Grothe, Oliver
core
Australian Journal of Agricultural and Resource Economics, EarlyView.ABSTRACT In agriculture, production technologies are often characterised by non‐linearities and stochastic dependence between outputs, particularly between desirable and undesirable outputs. This paper combines the copula‐based semi‐parametric framework for modelling heterogeneous dependence with the by‐production stochastic frontier approach and ...
Kofivi Dzegle, Ioannis Skevas
wiley +1 more source