Results 61 to 70 of about 44,033 (313)

Copula Gaussian Graphical Models for Functional Data

Journal of the American Statistical Association, 2020
We introduce a statistical graphical model for multivariate functional data, which are common in medical applications such as EEG and fMRI. Recently published functional graphical models rely on the multivariate Gaussian process assumption, but we relax it by introducing the functional copula Gaussian graphical model (FCGGM).
Solea, Eftychia, Li, Bing
openaire   +1 more source

Aggregation Functions: A Multivariate Approach Using Copulae [PDF]

SSRN Electronic Journal, 2008
In this paper we present the extension of the copula approach to aggregation functions. In fact we want to focus on a class of aggregation functions and present them in the multi linear form with marginal copulae. Moreover we will define also the joint aggregation density function.
CARDIN, Marta, MANZI M.
openaire   +3 more sources

An observation‐driven state‐space model for claims size modelling

Canadian Journal of Statistics, EarlyView.
Abstract State‐space models are popular in econometrics. Recently, these models have gained some popularity in the actuarial literature. The best known state‐space models are of the Kalman‐filter type. These are called parameter‐driven because the observations do not impact the state‐space dynamics.
Jae Youn Ahn, Himchan Jeong, Mario V. Wüthrich   +2 more
wiley   +1 more source

A Novel Nonparametric Estimation for Conditional Copula Functions Based on Bayes Theorem

IEEE Access, 2019
Conditional copula which measures the conditional dependence among variables, possesses a special position in copula field. In this article, based on Bayes theorem, we derive three kinds of conditional copula functions as the product of the corresponding
Xinyao Li, Weihong Zhang, Liangli He
doaj   +1 more source

Constructing a bivariate distribution function with given marginals and correlation: application to the galaxy luminosity function

, 2010
We show an analytic method to construct a bivariate distribution function (DF) with given marginal distributions and correlation coefficient. We introduce a convenient mathematical tool, called a copula, to connect two DFs with any prescribed dependence ...
Ball, Benabed, Binggeli, Blanton, Boissier, Boquien, Boselli, Buat, Buat, Buat, Buat, Cambanis, Chapman, Chołoniewski, Cowie, Cross, D'Este, Damen, Damen, De Lapparent, Driver, Farlie, Feulner, Fontanot, Gumbel, Heavens, Hettmansperger, Hirashita, Hollander, Huang, Iglesias-Páramo, Iglesias-Páramo, Jiang, Johnson, Koen, Kotz, Lin, Martin, Morgenstern, Nelsen, Noeske, Noeske, Panter, Salpeter, Saunders, Saunders, Schafer, Schechter, Scherrer, Schucany, Sklar, Stuart, Takeuchi, Takeuchi, Takeuchi, Takeuchi, Takeuchi, Trivedi, Valz, Willmer, Wyder   +60 more
core   +1 more source

Hidden Markov graphical models with state‐dependent generalized hyperbolic distributions

Canadian Journal of Statistics, EarlyView.
Abstract In this article, we develop a novel hidden Markov graphical model to investigate time‐varying interconnectedness between different financial markets. To identify conditional correlation structures under varying market conditions and accommodate shape features embedded in financial time series, we rely upon the generalized hyperbolic family of ...
Beatrice Foroni, Luca Merlo, Lea Petrella   +2 more
wiley   +1 more source

Precise Estimation of Cosmological Parameters Using a More Accurate Likelihood Function

, 2010
The estimation of cosmological parameters from a given data set requires a construction of a likelihood function which, in general, has a complicated functional form.
A. Sklar, Kiyotomo Ichiki, Masanori Sato, R. B. Nelsen, S. Miyazaki, Tsutomu T. Takeuchi   +5 more
core   +1 more source

Asymptotic independence in more than two dimensions and its implications on risk management

Canadian Journal of Statistics, EarlyView.
Abstract In extreme value theory, the presence of asymptotic independence signifies that joint extreme events across multiple variables are unlikely. Although well understood in a bivariate context, the concept remains relatively unexplored when addressing the nuances of simultaneous occurrence of extremes in higher dimensions.
Bikramjit Das, Vicky Fasen‐Hartmann
wiley   +1 more source

Weak convergence of the weighted empirical beta copula process

, 2017
The empirical copula has proved to be useful in the construction and understanding of many statistical procedures related to dependence within random vectors.
Berghaus, Betina, Segers, Johan
core   +1 more source

Managers' Sustainability Mindset: The Role of Place Attachment and Absorptive Capacity

Corporate Social Responsibility and Environmental Management, EarlyView.
ABSTRACT Sustainability mindset among managers is crucial for advancing sustainable development and creating long‐term environmental and social value. This study focuses on middle managers in Indian organizations and explores how place attachment and managerial absorptive capacity affect their sustainability mindset.
Asha K. S. Nair, Tulin Dzhengiz, Som Sekhar Bhattacharyya   +2 more
wiley   +1 more source