Results 11 to 20 of about 42,928 (197)

Archimedean Copulas Derived from Morgenstern Utility Functions [PDF]

SSRN Electronic Journal, 2012
The (additive) generator of an Archimedean copula - as well as the inverse of the generator - is a strictly decreasing and convex function, while Morgenstern utility functions (applying to risk averse decision makers) are nondecreasing and concave. This provides a basis for deriving either a generator of Archimedean copulas, or its inverse, from a ...
Spreeuw, J.
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A New Family of Archimedean Copulas: The Half-Logistic Family of Copulas

Mathematics, 2023
In this research, we introduce a truncation of the half-logistic distribution function as a multiplicative Archimedean generator. The corresponding Archimedean copula is obtained, namely the half-logistic family.
Abdulhamid A. Alzaid, Weaam M. Alhadlaq
doaj   +1 more source

A mixed-copula-based integral method for reliability analysis of a novel multi-functional rescue end-effector

Advances in Mechanical Engineering, 2023
To improve the performance of a conventional rescue equipment, we designed a novel multi-functional rescue end-effector comprising a separation mechanism and a grasping mechanism.
Chunrong Wang, Erdong Xia, Kun-Chieh Wang, Jing Zhao   +3 more
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Some functionals for copulas [PDF]

International Journal of Mathematics and Mathematical Sciences, 1990
In this paper we study some functionals operating on the set of the n‐copulas defined on [0, 1] n. Conditions under which such functionals are well defined are determined and some counterexamples are described. The study of the fixed points (n‐copulas) for these functionals is also considered, and, finally, some open problems are presented.
C. Alsina, A. Damas, J. J. Quesada
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Smooth bootstrapping of copula functionals

Electronic Journal of Statistics, 2022
The smooth bootstrap for estimating copula functionals in small samples is investigated. It can be used both to gauge the distribution of the estimator in question and to augment the data. Issues arising from kernel density and distribution estimation in the copula domain are addressed, such as how to avoid the bounded domain, which bandwidth matrix to
Coblenz, Maximilian, Grothe, Oliver, Herrmann, Klaus, Hofert, Marius   +3 more
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A Functional for Copulas and Quasi-Copulas [PDF]

ISRN Probability and Statistics, 2012
We recall and study some properties of a known functional operating on the set of n-copulas and determine conditions under such functional is well defined on the set of n-quasi-copulas. As a consequence, new families of copulas and quasi-copulas are defined, illustrating our results with several examples.
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Revisiting the Copula-Based Trading Method Using the Laplace Marginal Distribution Function

Mathematics, 2022
Pairs trading under the copula approach is revisited in this paper. It is well known that financial returns arising from indices in markets may not follow the features of normal distribution and may exhibit asymmetry or fatter tails, in particular.
Tayyebeh Nadaf, Taher Lotfi, Stanford Shateyi   +2 more
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Copula cosmology: Constructing a likelihood function [PDF]

Physical Review D, 2011
To estimate cosmological parameters from a given dataset, we need to construct a likelihood function, which sometimes has a complicated functional form. We introduce the copula, a mathematical tool to construct an arbitrary multivariate distribution function from one-dimensional marginal distribution functions with any given dependence structure. It is
Sato, Masanori, Ichiki, Kiyotomo, Takeuchi, Tsutomu T.   +2 more
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Modelling stochastic bivariate mortality [PDF]

, 2006
Stochastic mortality, i.e. modelling death arrival via a jump process with stochastic intensity, is gaining increasing reputation as a way to represent mortality risk.
A J G Cairns, A K Manatunga, A Shemyakin, C Genest, C Genest, C Genest, D Duue, D Duue, D Duue, D F Schrager, D G Clayton, D Lando, D Lando, D M Dabrowska, D Oakes, D Oakes, E Biis, E Luciano, E W Frees, Elena Vigna, Elisa Luciano, H Youn, H Youn, J E Anderson, J F Carriere, J Spreeuw, Jaap Spreeuw, M A Milevsky, M Dahl, M Denuit, M Denuit, P Artzner, P Br Emaud, P Hougaard, R B Nelsen, U Cherubini, W Wang   +36 more
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Performance of Archimedean copula functions in annual flood estimation, Case study: Qarah-Soo Watershed [PDF]

مخاطرات محیط طبیعی, 2017
Flood is known as one of the most devastating natural hazards which cause great damages to human societies, municipal, industrial and agricultural centers. Flood estimation in confluence points of rivers– for being the location for many infrastructures –
Sanaz Zeraati, Mohammad Zounemat-Kermani
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