Results 11 to 20 of about 44,033 (313)
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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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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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
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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 +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 +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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