Results 21 to 30 of about 5,520 (288)
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 +2 more
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On an interaction function for copulas
Journal of Multivariate Analysis, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Dorota Kurowicka, Wim T. van Horssen
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Aggregation of Dependent Risk Using the Koelher-Symanowski Copula Function
, 2005 This study examines the Koehler and Symanovski copula function with specific marginals, such as the skew Student-t, the skew generalized secant hyperbolic, and the skew generalized exponential power distributions, in modelling financial returns and ...
PALMITESTA, P., PROVASI C.
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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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Modelling joint distribution of crop plant yields and prices with use of a copula function [PDF]
, 2017 The paper constitutes an attempt at modelling the joint distribution of crop plant yields and prices in Poland. The main objective of the paper was to examine the usefulness of the copula function for the task and the selection of suitable marginal ...
Kobus, Paweł
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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 +3 more
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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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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 +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 +2 more
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Yantu gongcheng xuebao, 2020 The uncertainty and correlation of nonlinear strength parameters of rockfill are the key factors affecting the stability reliability analysis results of rockfill dam slopes.
KONG Xian-jing 1, 2, SONG Lai-fu 1, XU Bin 1, 2, ZOU De-gao 1, 2
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