Results 21 to 30 of about 44,033 (313)

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
doaj   +1 more source

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
openaire   +2 more sources

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
core   +1 more source

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
doaj   +1 more source

Information Measures via Copula Functions [PDF]

Journal of Statistical Research of Iran, 2010
In applications of differential geometry to problems of parametric inference, the notion of divergence is often used to measure the separation between two parametric densities. Among them, in this paper, we will verify measures such as Kullback-Leibler information, J-divergence, Hellinger distance, α-Divergence, . . . and so on.
R. Mohtashami Borzadaran, M. Amini
openaire   +1 more source

TIME SERIES ANALYSIS USING COPULA GAUSS AND AR(1)-N.GARCH(1,1)

Media Statistika, 2016
In this case, the Gaussian Copula is used to connect the data that correlates with the time and with other data sets. Most often, practitioners rely only on the linear correlation to describe the degree of dependence between two or more variables; an ...
Rezzy Eko Caraka, Hasbi Yasin, Wawan Sugiarto, Kadi Mey Ismail   +3 more
doaj   +1 more source

Method to Select Copula Functions

Revista Colombiana de Estadística, 2019
Copula functions have been extensively used in applied statistics, becoming a good alternative for modeling the dependence of multivariate data. Each copula function has a different dependence structure. An important issue in these applications is the choice of an appropriate copula function model for each one; thus common classical or Bayesian ...
Jorge Alberto Achcar, Jennyfer Portilla-Yela, José Rafael Tovar-Cuevas   +2 more
openaire   +3 more sources

Bivariate Flood Frequency Analysis Using the Copula Archimedean Function (Gumbel–Hougaard) [PDF]

پژوهش‌های آبخیزداری, 2020
Flood is a multivariate and complex phenomenon that has a random nature. In conventional methods of flood frequency analysis, only flood peak variable is important and it is assumed that the variable under consideration follows a particular parametric ...
Mohammad Reza Goodarzi, Atiyeh Fatehifar, Ali Khaseh, Mohammad Mahmoudvand   +3 more
doaj   +1 more source

Modeling Insurance Claim Distribution via Mixture Distribution and Copula [PDF]

تحقیقات مالی, 2017
This paper analyses whether joint probability distribution function of losses due to different exposures covered under the same policy could be modeled in an appropriate manner via mixture distribution proposed and copula concept.
Saeed Bajalan, Reza Raei, Shapour Mohammadi   +2 more
doaj   +1 more source

Calibrating and Simulating Copula Functions in Financial Applications

Frontiers in Applied Mathematics and Statistics, 2021
Copula functions can be utilized in financial applications to determine the dependence structure of the financial asset returns in the portfolio. Empirical evidence has proved the inadequacy of the multi-normal distribution, traditionally adopted to ...
Annalisa Di Clemente, Claudio Romano
doaj   +1 more source