Results 1 to 10 of about 70 (69)
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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Robust Possibilistic Optimization with Copula Function [PDF]
2021 IEEE International Conference on Fuzzy Systems (FUZZ-IEEE), 2021 This paper deals with a linear optimization problem with uncertain objective function coefficients modeled by possibility distributions. The fuzzy robust optimization framework is applied to compute a solution. Namely, the necessity degree that the objective value is lower than a given threshold is maximized.
Romain Guillaume +2 more
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Some functionals for copulas [PDF]
International Journal of Mathematics and Mathematical Sciences, 1990 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 these functionals is also considered, and, finally, some open problems are presented.
C. Alsina, A. Damas, J. J. Quesada
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A Functional for Copulas and Quasi-Copulas [PDF]
ISRN Probability and Statistics, 2012 We recall and study some properties of a known functional operating on the set of n-copulas and determine conditions under such functional is well defined on the set of n-quasi-copulas. As a consequence, new families of copulas and quasi-copulas are defined, illustrating our results with several examples.
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On an interaction function for copulas
Journal of Multivariate Analysis, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Dorota Kurowicka, Wim T. van Horssen
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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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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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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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Tail dependence functions and vine copulas
Journal of Multivariate Analysis, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Harry Joe +2 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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