Results 61 to 70 of about 90,390 (244)
Journal of Multivariate Analysis, 2018 Revised version: correction of Assumption 3 and some minor induced ...
Fermanian, Jean-David, Lopez, Olivier
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Zhejiang Daxue xuebao. Lixue ban, 2013 利用Copula-GARCH模型，研究上证地产股指数和金融股指数收益率的相关性.利用边缘函数推断法(IFM)建立2个股指对数收益率的时间序列的GARCH(1，1)-t模型.对边缘分布概率积分变化后的2个服从均匀分布的序列，分别建立常相关的二元Copula模型，包括正态Copula函数、Clayton Copula函数、Gumbel Copula函数、t-Copula函数、SJC-Copula函数和时变相关的二元Copula模型 ...
LIUGui-mei(刘桂梅), ZHAOLi(赵丽)
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Quasi-Copulas, Copulas and Fuzzy Implicators
International Journal of Computational Intelligence Systems, 2020 In this paper, we study relations between fuzzy implicators and some kinds of fuzzy conjunctors, in particular, quasi-copulas and copulas. We show that there is a one-to-one correspondence between the classes of all quasi-copulas and 1-Lipschitz fuzzy implicators.
Radko Mesiar, Anna Kolesárová
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On a Measure of Tail Asymmetry for the Bivariate Skew-Normal Copula [PDF]
, 2023 Toshinao Yoshiba +2 more
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, 2014 In this article, we consider the problem of reconstructing networks for continuous, binary, count and discrete ordinal variables by estimating sparse precision matrix in Gaussian copula graphical models.
Abegaz, Fentaw, Wit, Ernst
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Two Copulas associated with extremum(与极值相关的两类Copula)
Zhejiang Daxue xuebao. Lixue ban, 2008 利用阿基米德Copula，生存阿基米德Copula，对随机变量与极值统计量之间的相依关系进行了初步的探讨，构造了两类Copula.并在此基础上提出了一种生成Copula的方法.这种方法将特殊Copula函数结构应用到逆方法之中，为生成具有特殊性质的相依结构提供了平台.
WANGQin(王沁) +2 more
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Joint Probability Distribution of Wind–Wave Actions Based on Vine Copula Function
Journal of Marine Science and EngineeringDuring its service life, a deep-sea floating structure is likely to encounter extreme marine disasters. The combined action of wind and wave loads poses a threat to its structural safety.
Yongtuo Wu +3 more
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Estimating Risk of Natural Gas Portfolios by Using GARCH-EVT-Copula Model
The Scientific World Journal, 2015 This paper concentrates on estimating the risk of Title Transfer Facility (TTF) Hub natural gas portfolios by using the GARCH-EVT-copula model. We first use the univariate ARMA-GARCH model to model each natural gas return series.
Jiechen Tang +3 more
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Data on copula modeling of mixed discrete and continuous neural time series
Data in Brief, 2016 Copula is an important tool for modeling neural dependence. Recent work on copula has been expanded to jointly model mixed time series in neuroscience (“Hu et al., 2016, Joint Analysis of Spikes and Local Field Potentials using Copula” [1]).
Meng Hu, Mingyao Li, Wu Li, Hualou Liang
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Pair-Copula Constructions of Multivariate Copulas
, 2010 In this survey we introduce and discuss the pair-copula construction method to build flexible multivariate distributions. This class includes drawable (D), canonical (C) and regular vines developed in [5] and [4]. Estimation and model selection methods are studied both in a classical as well as in a Bayesian setting. This flexible class of multivariate
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