Results 161 to 170 of about 2,718,811 (196)
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2021
This chapter is devoted to a short review of the basic concepts of the theory of dependence functions or copula functions, as they are more usually called. In particular our objective is to define the volume of a copula function: this is one of the basic ingredients of the aggregation algorithm that will be discussed in Part II.
Enrico Bernardi, Silvia Romagnoli
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This chapter is devoted to a short review of the basic concepts of the theory of dependence functions or copula functions, as they are more usually called. In particular our objective is to define the volume of a copula function: this is one of the basic ingredients of the aggregation algorithm that will be discussed in Part II.
Enrico Bernardi, Silvia Romagnoli
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Binary copulas as aggregation functions
2014 IEEE 15th International Symposium on Computational Intelligence and Informatics (CINTI), 2014We present binary copulas or 2-copulas (copulas, shortly) as important aggregation function. Since generally copulas are non-associative operation we restrict on binary case, which is mostly used in the practice. After giving some introductory part on general aggregation functions we restrict on specific properties of copulas.
Endre Pap, Aniko Szakal
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On tail dependence for Grubbs’ copula-function
Russian Mathematics, 2015zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Extreme distribution functions of copulas
Kybernetika, 2008Summary: We study some properties of the distribution function of the random variable \(C(X,Y)\) when the copula of the random pair \((X,Y)\) is \(M\) (respectively, \(W\)) -- the copula for which each of \(X\) and \(Y\) is almost surely an increasing (respectively, decreasing) function of the other -- and \(C\) is any copula.
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Archimedean Utility Copulas with Polynomial Generating Functions
Decision Analysis, 2019Archimedean utility copulas comprise the general class of multiattribute utility functions that have additive ordinal preferences and are strictly increasing with each argument for at least one reference value of the complementary attributes. The construction of an Archimedean utility copula requires an assessment of an individual utility function for
Ali E. Abbas, Zhengwei Sun
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Financial Modelling with Copula Functions
SSRN Electronic Journal, 2010This set of lecture notes was developed from my ‘Copula Finance’ spring lectures for the Thammasat University’s Master in Finance International Program (MIF).
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Application of Copula functions in statistics
2007Studying associations among multivariate outcomes is an interesting problem in statistical science. The dependence between random variables is completely described by their multivariate distribution. When the multivariate distribution has a simple form, standard methods can be used to make inference.
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Copula functions and dependency concepts
2014Modeling default of several obligors implies modeling the default probability of the single obligor as well as the dependence structure between obligors.
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