Results 61 to 70 of about 42,928 (197)

Archimedean Copula Estimation Parameter with Kendall Distribution Function

Cumhuriyet Science Journal, 2017
In the literature, up to now, it is common thatfor Gumbel, Clayton and Frank calculated Kendall Distribution function and to the extent those applications havebeen made.
Ayşe Metın Karakas, Murat Karakas, Mine Dogan   +2 more
doaj   +1 more source

Analysis and Application of Mechanical System Reliability Model Based on Copula Function

Polish Maritime Research, 2016
There is complicated correlations in mechanical system. By using the advantages of copula function to solve the related issues, this paper proposes the mechanical system reliability model based on copula function.
An Hai, Yin Hang, He Fukai
doaj   +1 more source

Nested Copula Model for Overall Seismic Vulnerability Analysis of Multispan Bridges

Shock and Vibration, 2022
Piers and bearings influence each other in earthquakes, and the failure of any component will affect the whole function of bridges. Thus, it is critical to consider the correlations between multiple components in the seismic vulnerability analysis of the
Ming Ma, Xiaoguang Wang, Naidong Liu, Shuai Song, Shuai Wang   +4 more
doaj   +1 more source

Multiplier bootstrap of tail copulas with applications

, 2013
For the problem of estimating lower tail and upper tail copulas, we propose two bootstrap procedures for approximating the distribution of the corresponding empirical tail copulas. The first method uses a multiplier bootstrap of the empirical tail copula
Bücher, Axel, Dette, Holger
core   +1 more source

Investigating dynamic dependence using copulae [PDF]

, 2001
A general methodology for time series modelling is developed which works down from distributional properties to implied structural models including the standard regression relationship.
Bouyé, Eric, Gaussel, Nicolas, Salmon, Mark H.   +2 more
core   +2 more sources

Multi-dimensional scenario forecast for generation of multiple wind farms

Journal of Modern Power Systems and Clean Energy, 2015
A novel multi-dimensional scenario forecast approach which can capture the dynamic temporal-spatial interdependence relation among the outputs of multiple wind farms is proposed.
Ming Yang, You Lin, Simeng Zhu, Xueshan Han, Hongtao Wang   +4 more
doaj   +1 more source

Improving Upon the Marginal Empirical Distribution Functions when the Copula is Known [PDF]

At the heart of the copula methodology in statistics is the idea of separating marginal distributions from the dependence structure. However, as shown in this paper, this separation is not to be taken for granted: in the model where the copula is known ...
Akker, R. van den, Segers, J.J.J., Werker, B.J.M.   +2 more
core   +1 more source

Efficient estimation of parameters in marginals in semiparametric multivariate models [PDF]

Recent literature on semiparametric copula models focused on the situation when the marginals are specified nonparametrically and the copula function is given a parametric form.
Artem Prokhorov, Valentyn Panchenko
core  

Implied volatility of basket options at extreme strikes

, 2014
In the paper, we characterize the asymptotic behavior of the implied volatility of a basket call option at large and small strikes in a variety of settings with increasing generality.
A d’Aspremont, A Gulisashvili, A Gulisashvili, A Gulisashvili, A Gulisashvili, A Lewis, A Medvedev, B Jourdain, E Benhamou, E Eberlein, E Gobet, E Hashorva, E Luciano, H Berestycki, J Figueroa-López, J Schoenmakers, JMP Albin, L Andersen, M Forde, M Forde, MR Tehranchi, O Barndorff-Nielsen, P Tankov, R Cont, R Lee, R Nelsen, S Asmussen, S Benaim, S Benaim, U Cherubini   +29 more
core   +1 more source

Fitting Copulas with Maximal Entropy

Entropy
We deal with two-dimensional copulas from the perspective of their differential entropy. We formulate a problem of finding a copula with maximum differential entropy when some copula values are given.
Milan Bubák, Mirko Navara
doaj   +1 more source