Results 31 to 40 of about 5,166,535 (297)
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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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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Functional treatment of asymmetric copulas
, 2019 The concept of asymmetric copulas is revisited and is made more precise. We give a rigorous topological argument for opportunity to define asymmetry measures defined recently by K.F Siburg [6] through exhibiting at least three ordered classes of copulas according to a suitable equivalence relation. We define a process of ordering subcopulas which makes
Sani, A., Karbil, L.
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A COPULA APPLICATION FOR MECHANICAL PROPERTIES [PDF]
Fiabilitate şi Durabilitate, 2019 Based on copula applications, the work points out the use of cumulative distribution function for the characteristics bivariate cases and the connections among them.
Adrian Stere PARIS
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Dependence Modeling, 2018 The family of Clayton copulas is one of the most widely used Archimedean copulas for dependency measurement. A major drawback of this copula is that when it accounts for negative dependence, the copula is nonstrict and its support is dependent on the ...
Cooray Kahadawala
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Correlation between Rainfall and Runoff in Fuchun River Basin Based on Copula Functions and Kernel Density Estimation [PDF]
长江科学院院报[Objective] Rainfall and runoff are two important hydrological variables in river basins, exhibiting the characteristic of random distribution. In-depth analysis of the relationship between rainfall and runoff holds significant importance for watershed ...
YANG Sheng-mei, ZHU De-kang, CHENG Xiang, LI Bo, ZHU Yan-ze, MA Wen-sheng
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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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Correlation analysis of diabetes based on Copula
Frontiers in EndocrinologyIntroductionThe ratio of Triglyceride (TG) to high-density lipoprotein cholesterol (HDL-C) is a crucial indicator for diabetes diagnosis.MethodsThis study utilizes the Copula function to model and fit the non-linear correlation among fasting blood ...
Chang Liu +3 more
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Supervised Classification Based on Copula Functions
Research in Computing Science, 2017 Tesis (maestria en ciencias con opcion a la computacion)--Universidad Autonoma de Aguascalientes.
Ángela Paulina Pérez-Díaz +3 more
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Monitoring Test for Stability of Dependence Structure in Multivariate Data Based on Copula
Entropy, 2016 In this paper, we consider a sequential monitoring procedure for detecting changes in copula function. We propose a cusum type of monitoring test based on the empirical copula function and apply it to the detection of the distributional changes in copula
Jiyeon Lee, Byungsoo Kim
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