Results 81 to 90 of about 90,390 (244)
Multivariate Copula Models at Work: Outperforming the desert island copula? [PDF]
Since the pioneering work of Embrechts and co-authors in 1999, copula models enjoy steadily increasing popularity in finance. Whereas copulas are well-studied in the bivariate case, the higher-dimensional case still offers several open issues and it is ...
Fischer, Matthias J. +3 more
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Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo [PDF]
, 2019 Martin Burda, Louis Bélisle
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Design flood estimation of cascade reservoirs based on vine-copula flood regional composition
Journal of Hydrology: Regional StudiesStudy region: The study region is the Yalong River basin, the largest tributary of the Jinsha River in China. Study focus: The most likely flood regional composition (MLFRC) method has been widely used to estimate the design flood of cascade reservoirs ...
Sirui Zhong +4 more
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Estimating the Joint Probability of Scenario Parameters With Gaussian Mixture Copula Models
IEEE Open Journal of Intelligent Transportation SystemsThis paper presents the first application of Gaussian Mixture Copula Models to the statistical modeling of driving scenarios for the safety validation of automated driving systems. Knowledge of the joint probability distribution of scenario parameters is
Christian Reichenbacher +3 more
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Dependence Modeling, 2018 The family of Clayton copulas is one of the most widely used Archimedean copulas for dependency measurement. A major drawback of this copula is that when it accounts for negative dependence, the copula is nonstrict and its support is dependent on the ...
Cooray Kahadawala
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On the Interrelation between Dependence Coefficients of Extreme Value Copulas [PDF]
, 2018 Alexey Viktorovich Lebedev
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Efficient Modeling of the Energy Sector Using a New Bivariate Copula
MathematicsCopulas are a useful tool to generate bivariate distributions from the univariate marginals. This method is also useful to generate bivariate families of distributions. In this paper, a new copula has been proposed. Some useful properties of the proposed
Jumanah Ahmed Darwish +1 more
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Stochastic Frontier Models With Correlated Error Components [PDF]
In the productivity modelling literature, the disturbances U (representing technical inefficiency) and V (representing noise) of the composite error W=V-U of the stochastic frontier model are assumed to be independent random variables.
Murray D Smith
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Bivariate copulas functions for flood frequency analysis [PDF]
, 2016 Norizzati Salleh +2 more
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