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Some functionals for copulas [PDF]
International Journal of Mathematics and Mathematical Sciences, 1991 In this paper we study some functionals operating on the set of the n-copulas defined on [0,1]n. Conditions under which such functionals are well defined are determined and some counterexamples are described. The study of the fixed points (n-copulas) for
C. Alsina, A. Damas, J. J. Quesada
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Bivariate Analysis of Extreme Precipitation Using Copula Functions in Arid and Semi-Arid Regions
Atmosphere, 2023 This study analyzed extreme precipitation events, using daily rainfall data for 1966–2015. A Mann–Kendall trend test was used to evaluate trends in extreme precipitation, copula functions were applied to compute the joint return periods of extreme events,
Zeynab Pabaghi +4 more
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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
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Probabilistic analysis of the controls on groundwater depth using Copula Functions
Hydrology Research, 2020 Groundwater is an essential water resource in the Yarkant River Basin Irrigation District, which is the largest oasis in Xinjiang, China. This study used a novel approach to analyze the relationship between groundwater depth and three driving factors by ...
Yifei Bai +3 more
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A Review of Copula-Based Approach for Water Resources Time Series [PDF]
Water Harvesting Research, 2023 This research investigates the utilization of copula functions in the water resources field, encompassing meteorological and hydrological aspects. A review of the Web of Sciences archive revealed 15143 studies featuring copula keywords.
Mohammad Nazeri Tahroudi +3 more
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An application of stochastic approximation in simulated method of moments [PDF]
Mathematics and Modeling in Finance, 2021 Identifying the structures of dependence between financial assets is one of the interesting topics to researchers. However, there are challenges to this purpose. One of them is the modelling of heavy tail distributions.
Erfan Salavati, Nazanin Mohseni
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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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Empirical tail copulas for functional data [PDF]
The Annals of Statistics, 2020 For multivariate distributions in the domain of attraction of a max-stable distribution, the tail copula and the stable tail dependence function are equivalent ways to capture the dependence in the upper tail. The empirical versions of these functions are rank-based estimators whose inflated estimation errors are known to converge weakly to a Gaussian ...
Einmahl, John H.J., Segers, Johan
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Estimating Value at Risk of Portfolio of Oil and Gold by Copula-GARCH Method [PDF]
تحقیقات مالی, 2014 Copula functions are powerful tools that describe dependence structure of multi- dimension random variables and are considered as one of the newest tools for risk management.
Saeed Fallahpour, Ehsan Ahmadi
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A Class of Copula-Based Bivariate Poisson Time Series Models with Applications
Computation, 2021 A class of bivariate integer-valued time series models was constructed via copula theory. Each series follows a Markov chain with the serial dependence captured using copula-based transition probabilities from the Poisson and the zero-inflated Poisson ...
Mohammed Alqawba +2 more
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