Results 11 to 20 of about 90,390 (244)
Electronic Journal of Statistics, 2014 We propose notions of calibration for probabilistic forecasts of general multivariate quantities. Probabilistic copula calibration is a natural analogue of probabilistic calibration in the univariate setting. It can be assessed empirically by checking for the uniformity of the copula probability integral transform (CopPIT), which is invariant under ...
Johanna F. Ziegel, Tilmann Gneiting
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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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SSRN Electronic Journal, 2012 We introduce the notion of realized copula. Based on assumptions of the marginal distributions of daily stock returns and a copula family, realized copula is defined as the copula structure materialized in realized covariance estimated from within-day high-frequency data.
Matthias R. Fengler, Ostap Okhrin
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Communications in Statistics - Theory and Methods, 2008 We present a new way of constructing n-copulas, by scaling and gluing finitely many n-copulas. Gluing for bivariate copulas produces a copula that coincides with the independence copula on some grid of horizontal and vertical sections. Examples illustrate how gluing can be applied to build complicated copulas from simple ones.
Siburg, Karl Friedrich +1 more
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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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Trivariate copula to design coastal structures [PDF]
Natural Hazards and Earth System Sciences, 2021 Some coastal structures must be redesigned in the future due to rising sea levels caused by climate change. The design of structures subjected to the actions of waves requires an accurate estimate of the long return period of such parameters as wave ...
O. Orcel, P. Sergent, F. Ropert
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Business Review, 2023 Using a time-dependent copulas model, this study attempts to investigate the risk spillover from global energy markets to Pakistan’s agricultural commodities market.
Hira Saeed +2 more
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Is a Normal Copula the Right Copula? [PDF]
Journal of Business & Economic Statistics, 2018 We derive computationally simple and intuitive expressions for score tests of Gaussian copulas against Generalized Hyperbolic alternatives, including symmetric and asymmetric Student t, and many other examples. We decompose our tests into third and fourth moment components, and obtain one-sided Likelihood Ratio analogues, whose standard asymptotic ...
Amengual, Dante, Sentana, Enrique
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The t Copula and Related Copulas
International Statistical Review, 2007 Summary: The \(t\) copula and its properties are described with a focus on issues related to the dependence of extreme values. The Gaussian mixture representation of a multivariate \(t\) distribution is used as a starting point to construct two new copulas, the skewed \(t\) copula and the grouped \(t\) copula, which allow more heterogeneity in the ...
Demarta, Stefano, Mcneil, Alexander J.
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The Structure of the Class of Maximum Tsallis–Havrda–Chavát Entropy Copulas
Entropy, 2016 A maximum entropy copula is the copula associated with the joint distribution, with prescribed marginal distributions on [ 0 , 1 ] , which maximizes the Tsallis–Havrda–Chavát entropy with q = 2 .
Jesús E. García +2 more
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