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New bivariate family of distributions based on any copula function: Statistical properties [PDF]
Heliyon, 2023 In this paper, new bivariate family of distributions based on any copula is established. Of this, we introduce new bivariate Topp-Leone family based on Farlie-Gumbel-Morgenstern (FGM) copula.
Ali A. Al-Shomrani
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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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Power Transformer Diagnosis Based on Dissolved Gases Analysis and Copula Function
Energies, 2022 The traditional DGA (Dissolved Gas Analysis) diagnosis method does not consider the dependence between fault characteristic gases and uses the relationship between gas ratio coding and fault type to make the decision.
Xiaoqin Zhang +4 more
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Empirical tail copulas for functional data [PDF]
The Annals of Statistics, 2020 For multivariate distributions in the domain of attraction of a max-stable distribution, the tail copula and the stable tail dependence function are equivalent ways to capture the dependence in the upper tail. The empirical versions of these functions are rank-based estimators whose inflated estimation errors are known to converge weakly to a Gaussian ...
Einmahl, John H.J., Segers, Johan
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Correlation analysis of financial assets based on asymmetric copula
Frontiers in Applied Mathematics and Statistics, 2022 Based on the asymmetric copula function, this paper analyzes the static and dynamic correlation between Shanghai Composite Index and Shenzhen Composite Index.
Xia Li, Bing Hou
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Scientific Reports, 2022 Copula functions are widely used for modeling multivariate dependence. Since the multivariate data may not necessarily be linear and Gaussian, the copula model is very often brought into the picture for modeling such multivariate phenomena.
K. Dinda, B. Samanta, D. Chakravarty
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An application of stochastic approximation in simulated method of moments [PDF]
Mathematics and Modeling in Finance, 2021 Identifying the structures of dependence between financial assets is one of the interesting topics to researchers. However, there are challenges to this purpose. One of them is the modelling of heavy tail distributions.
Erfan Salavati, Nazanin Mohseni
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Energy Science & Engineering, 2021 To consider the failure correlation among key subsystems, based on the reliability allocation method of the series system, a wind turbine reliability allocation calculation method based on the vine copula correlation model is proposed.
Yuanyuan Wu, Wenlei Sun
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Bearing Data Model of Correlation Probability Box Based on New G-Copula Function
IEEE Access, 2020 Bearing failure often occurs in rotating machinery. Fault diagnosis method based on vibration signals has been studied for many years. Considering complementary information of the vibration signals from different directions, this article proposed an ...
Liangcai Dong +3 more
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Multivariate Extension of Raftery Copula
Mathematics, 2023 This paper introduces a multivariate extension of Raftery copula. The proposed copula is exchangeable and expressed in terms of order statistics. Several properties of this copula are established.
Tariq Saali, Mhamed Mesfioui, Ani Shabri
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