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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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Journal of Hydrology: Regional Studies, 2016 Study region: Narew River in Northeastern Poland. Study focus: Three methods for frequency analysis of snowmelt floods were compared. Two dimensional (2D) normal distribution and copula-based 2D probability distributions were applied to statistically ...
Bogdan Ozga-Zielinski +4 more
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Jurnal Matematika Integratif, 2020 Industri asuransi merupakan industri yang berkaitan langsung dengan risiko. Risiko yang terjadi diakibatkan oleh besar klaim yang harus dibayarkan perusahaan asuransi.
Dedy Irawan Prihandoko +1 more
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Flood routing via a copula-based approach
Hydrology Research, 2021 Floods are among the most common natural disasters that if not controlled may cause severe damage and high costs. Flood control and management can be done using structural measures that should be designed based on the flood design studies. The simulation
Mohammad Nazeri Tahroudi +3 more
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El tratamiento de la cópula verbal en la historia del pensamiento lingüístico
Estudios de Lingüística, 2004 Throughout the history of Linguistics, the verbal copula has been analysed from different viewpoints. Some approaches considered the copula simply as an ordinary verb, without any special features.
Ventura Salazar García
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VALUE AT RISK ESTIMATION FOR STOCK PORTFOLIO USING THE ARCHIMEDEAN COPULA APPROACH
BarekengInvestment is one of the many ways to achieve future profits. One form of investment that is widely made is stocks. The return obtained in investing in stocks is potentially higher than other investment alternatives, but the risks borne are amplified, so
Mohammad Dicky Saifullah +3 more
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Penerapan Metode GARCH-Vine Copula untuk Estimasi Value at Risk (VaR) pada Portofolio
Jurnal Fourier, 2018 Salah satu alat ukur yang digunakan untuk menghitung risiko portofolio adalah Value at Risk (VaR). Beberapa metode pengukuran VaR mengasumsikan return berdistribusi normal dan ukuran dependensi antar saham menggunakan korelasi linear.
Herida Okta Pintari, Retno Subekti
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The Challenge of Handling Structured Missingness in Integrated Data Sources
Advanced Intelligent Discovery, EarlyView.As data integration becomes ever more prevalent, a new research question that emerges is how to handle missing values that will inevitably arise in these large‐scale integrated databases? This missingness can be described as structured missingness, encompassing scenarios involving multivariate missingness mechanisms and deterministic, nonrandom ...
James Jackson +6 more
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Quasi-copulas as linear combinations of copulas
Fuzzy Sets and SystemsWe prove that every quasi-copula can be written as a uniformly converging infinite sum of multiples of copulas. Furthermore, we characterize those quasi-copulas which can be written as a finite sum of multiples of copulas, i.e., that are a linear combination of two copulas.
Gregor Dolinar, Bojan Kuzma, Nik Stopar
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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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