Results 161 to 170 of about 44,033 (313)

A Conditional Tail Expectation Type Risk Measure for Time Series

Journal of Time Series Analysis, EarlyView.
ABSTRACT We consider the estimation of the conditional expectation 𝔼(Xh|X0>UX(1/p)), provided 𝔼|X0|<∞, at extreme levels, where (Xt)t∈ℤ$$ {\left({X}_t\right)}_{t\in \mathbb{Z}} $$ is a strictly stationary time series, UX$$ {U}_X $$ its tail quantile function, h$$ h $$ is a positive integer and p∈(0,1)$$ p\in \left(0,1\right) $$ is such that p→0$$ p\to ...
Yuri Goegebeur, Armelle Guillou, Jing Qin   +2 more
wiley   +1 more source

Drought Risk Analysis Using Stochastic Rainfall Generation Model and Copula Functions

, 2013
Ji Young Yoo, Hyun‐Han Kwon, Dongkyun Kim, Tae‐Woong Kim   +3 more
openalex   +2 more sources

Dynamic Fatigue Analysis of High-Speed Trains Gearbox Using Copula Function [PDF]

, 2022
Yumei Liu, Ting Hu, Yun Chen, Zixu Hao, Ming Liu   +4 more
openalex   +1 more source

Copula function theory and classification [PDF]

Proceedings of the 2017 2nd International Conference on Education, Sports, Arts and Management Engineering (ICESAME 2017), 2017
Zhigang Zhang, Yueguang Hu
openaire   +1 more source

Robust CDF‐Filtering of a Location Parameter

Journal of Time Series Analysis, EarlyView.
ABSTRACT This paper introduces a novel framework for designing robust filters associated with signal plus noise models having symmetric observation density. The filters are obtained by a recursion where the innovation term is a transform of the cumulative distribution function of the residuals.
Leopoldo Catania, Andrew C. Harvey, Alessandra Luati   +2 more
wiley   +1 more source

Weak convergence of empirical copula processes indexed by functions [PDF]

, 2014
Dragan Radulović, Marten Wegkamp, Yue Zhao   +2 more
openalex   +1 more source

Analyzing Non‐Random Selectivity in Online Job Advertisements Using Eurostat Benchmark Data and Generalized Sample Selection Models: An Application to EU Regional Labor Markets

LABOUR, EarlyView.
ABSTRACT The present paper provides an overall framework to afford the problem of non‐representativeness and non‐random selectivity arising from online job ads data, using Generalized sample selection models and Eurostat benchmark data. We jointly model the outcome intensity (number of online job ads in observed profiles, whose levels are defined by ...
Pietro Giorgio Lovaglio, Mario Mezzanzanica   +1 more
wiley   +1 more source

Portfolio Risk and Dependence Modeling: Application of Factor and Copula Models

The International Journal of Banking and Finance, 2012
We consider portfolio credit risk modeling with a focus on two approaches, the factor model, and the copula model. While other models have received greater scrutiny, both factor and cupola models have received little attention although these are ...
Arsalan Azamighaimasi
doaj  

Robust Bernoulli Mixture Models for Credit Portfolio Risk

Mathematical Finance, EarlyView.
ABSTRACT This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing in a common risk factor. We provide simple and interpretable conditions on conditional default probabilities that imply a comparison ...
Jonathan Ansari, Eva Lütkebohmert
wiley   +1 more source

Bayesian Inference for Joint Estimation Models Using Copulas to Handle Endogenous Regressors

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT This study proposes a Bayesian approach for finite‐sample inference of the Gaussian copula endogeneity correction. Extant studies use frequentist inference, build on a priori computed estimates of marginal distributions of explanatory variables, and use bootstrapping to obtain standard errors. The proposed Bayesian approach facilitates precise
Rouven E. Haschka
wiley   +1 more source