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Copula models in machine learning [PDF]
, 2015 The introduction of copulas, which allow separating the dependence structure of a multivariate distribution from its marginal behaviour, was a major advance in dependence modelling.
Rey, Mélanie
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Correlation between Rainfall and Runoff in Fuchun River Basin Based on Copula Functions and Kernel Density Estimation [PDF]
长江科学院院报[Objective] Rainfall and runoff are two important hydrological variables in river basins, exhibiting the characteristic of random distribution. In-depth analysis of the relationship between rainfall and runoff holds significant importance for watershed ...
YANG Sheng-mei, ZHU De-kang, CHENG Xiang, LI Bo, ZHU Yan-ze, MA Wen-sheng
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Application of Copula functions in hydrology and water resources: a state-of-the-art review
Shui kexue jinzhan, 2021 Copula functions, which are flexible tools for the derivation of joint probability distributions, have been widely and effectively used to deal with multivariable analysis problems in the field of hydrology and water resources.
Zhangjun LIU +4 more
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Pairs Trading; A Comparison between Student-t and Vine Copulas [PDF]
تحقیقات مالی, 2022 Objective: The main purpose of the present research was to compare the performance of pairs trading based on the Vine Copula, Student's t Copula, and Distance approaches. This was done for the first time on the Tehran Stock Exchange (TSE).
Maryam Davallou, Ardavan Yazdi
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Pair-copula constructions of multiple dependence [PDF]
, 2006 Building on the work of Bedford, Cooke and Joe, we show how multivariate data, which exhibit complex patterns of dependence in the tails, can be modelled using a cascade of pair-copulae, acting on two variables at a time.
Aas, Kjersti +3 more
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Conditional independence and predictive copula
4 open, 2022 In this paper, we address the concept of conditional independence between two random variables X and Y given the entity Θ. We identify the impact of conditional independence on the analytic form of the predictive 2-copula between X and Y.
González-López V.A. +1 more
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Testing the bivariate distribution of daily equity returns using copulas: an application to the Spanish stock market [PDF]
, 2005 In this paper we deal with the identification of dependencies between time series of equity returns. Marginal distribution functions are assumed to be known, and a bivariate chi-square test of fit is applied in a fully parametric copula approach. Several
Roch, Oriol, Alegre Escolano, Antonio
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A copula-based bivariate integer-valued autoregressive process with application
Modern Stochastics: Theory and Applications, 2019 A bivariate integer-valued autoregressive process of order 1 (BINAR(1)) with copula-joint innovations is studied. Different parameter estimation methods are analyzed and compared via Monte Carlo simulations with emphasis on estimation of the copula ...
Andrius Buteikis, Remigijus Leipus
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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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