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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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Weak convergence of the empirical copula process with respect to weighted metrics [PDF]
, 2014 The empirical copula process plays a central role in the asymptotic analysis of many statistical procedures which are based on copulas or ranks. Among other applications, results regarding its weak convergence can be used to develop asymptotic theory for
Berghaus, Betina +2 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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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 +3 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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Estimation of Copula Density Using the Wavelet Transform
مجلة بغداد للعلومThis paper proposes a new method to estimate the copula density function using wavelet decomposition as a nonparametric method, to obtain more accurate results and address the issue of boundary effects that nonparametric estimation methods suffer from ...
Fatimah Hashim Falhi +1 more
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Penerapan Metode GARCH-Vine Copula untuk Estimasi Value at Risk (VaR) pada Portofolio
Jurnal Fourier, 2018 Salah satu alat ukur yang digunakan untuk menghitung risiko portofolio adalah Value at Risk (VaR). Beberapa metode pengukuran VaR mengasumsikan return berdistribusi normal dan ukuran dependensi antar saham menggunakan korelasi linear.
Herida Okta Pintari, Retno Subekti
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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
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Implicit Copulas from Bayesian Regularized Regression Smoothers
, 2018 We show how to extract the implicit copula of a response vector from a Bayesian regularized regression smoother with Gaussian disturbances. The copula can be used to compare smoothers that employ different shrinkage priors and function bases.
Klein, Nadja, Smith, Michael Stanley
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