Results 51 to 60 of about 89,782 (266)

Regresi Median Pada Copula Bivariat

JTAM (Jurnal Teori dan Aplikasi Matematika), 2019
Abstrak: Analisis regresi adalah analisis yang sering digunakan dalam segala bidang yang bertujuan untuk memodelkan hubungan antara dua jenis variabel tak bebas dengan satu atau variabel bebas. Regresi linier masih memiliki beberapa kekurangan, maka dari
Geraldus Anggoro Rinadi, Leopoldus Ricky Sasongko, Bambang Susanto   +2 more
doaj   +1 more source

Copula estimation for nonsynchronous financial data

, 2020
Copula is a powerful tool to model multivariate data. We propose the modelling of intraday financial returns of multiple assets through copula. The problem originates due to the asynchronous nature of intraday financial data.
Chakrabarti, Arnab, Sen, Rituparna
core  

Subuniformity of harmonic mean p$$ p $$‐values

Canadian Journal of Statistics, EarlyView.
Abstract We obtain several inequalities on the generalized means of dependent p$$ p $$‐values. In particular, the weighted harmonic mean of p$$ p $$‐values is strictly subuniform under several dependence assumptions of p$$ p $$‐values, including independence, negative upper orthant dependence, the class of extremal mixture copulas, and some Clayton ...
Yuyu Chen, Ruodu Wang, Yuming Wang, Wenhao Zhu   +3 more
wiley   +1 more source

An observation‐driven state‐space model for claims size modelling

Canadian Journal of Statistics, EarlyView.
Abstract State‐space models are popular in econometrics. Recently, these models have gained some popularity in the actuarial literature. The best known state‐space models are of the Kalman‐filter type. These are called parameter‐driven because the observations do not impact the state‐space dynamics.
Jae Youn Ahn, Himchan Jeong, Mario V. Wüthrich   +2 more
wiley   +1 more source

Exploring Two Modified Ali-Mikhail-Haq Copulas and New Bivariate Logistic Distributions

Pan-American Journal of Mathematics
The Ali-Mikhail-Haq copula is a bivariate ratio-type Archimedean copula known for its simplicity and flexibility in modeling moderate negative and positive dependence structures, making it widely used in various fields.
Christophe Chesneau
doaj   +1 more source

Asymptotics of empirical copula processes under non-restrictive smoothness assumptions

, 2012
Weak convergence of the empirical copula process is shown to hold under the assumption that the first-order partial derivatives of the copula exist and are continuous on certain subsets of the unit hypercube.
Segers, Johan
core   +1 more source

Hidden Markov graphical models with state‐dependent generalized hyperbolic distributions

Canadian Journal of Statistics, EarlyView.
Abstract In this article, we develop a novel hidden Markov graphical model to investigate time‐varying interconnectedness between different financial markets. To identify conditional correlation structures under varying market conditions and accommodate shape features embedded in financial time series, we rely upon the generalized hyperbolic family of ...
Beatrice Foroni, Luca Merlo, Lea Petrella   +2 more
wiley   +1 more source

Strong Approximation of Empirical Copula Processes by Gaussian Processes

, 2011
We provide the strong approximation of empirical copula processes by a Gaussian process. In addition we establish a strong approximation of the smoothed empirical copula processes and a law of iterated ...
Adler R. J., Bouzebda S., Chung K.-L., Csörgő M., Csörgő M., Cui S., DasGupta A., Deheuvels P., Deheuvels P., Deheuvels P., Fermanian J.-D., Joe H., McNeil A. J., Moore D. S., Nelsen R. B., Piterbarg V. I., Salim Bouzebda, Shorack G. R., Sklar A., Sklar A., Tarek Zari, Tsukahara H.   +21 more
core   +1 more source

Asymptotic independence in more than two dimensions and its implications on risk management

Canadian Journal of Statistics, EarlyView.
Abstract In extreme value theory, the presence of asymptotic independence signifies that joint extreme events across multiple variables are unlikely. Although well understood in a bivariate context, the concept remains relatively unexplored when addressing the nuances of simultaneous occurrence of extremes in higher dimensions.
Bikramjit Das, Vicky Fasen‐Hartmann
wiley   +1 more source

GENERALIZED NESTED COPULA REGRESSION TO UNVEIL THE IMPACT OF EXCHANGE RATES AND NIKKEI 225 ON BANK MANDIRI STOCK PRICE

Barekeng
Fluctuations in exchange rates and foreign stock indices strongly influence domestic stock performance, particularly in the banking sector, which is highly sensitive to global economic dynamics.
Alfi Khairiati, Retno Budiarti, Mohamad Khoirun Najib   +2 more
doaj   +1 more source