Results 31 to 40 of about 34,600 (197)

The application of the hybrid copula-GARCH approach in the simulation of extreme discharge values

Applied Water Science, 2022
Statistical analysis and simulation of annual maximum discharge values, while considering the corresponding maximum daily rainfall, provide a comprehensive view of flood management.
Mohammad Nazeri Tahroudi, Mirali Mohammadi, Keivan Khalili   +2 more
doaj   +1 more source

Modelling stochastic bivariate mortality [PDF]

, 2006
Stochastic mortality, i.e. modelling death arrival via a jump process with stochastic intensity, is gaining increasing reputation as a way to represent mortality risk.
A J G Cairns, A K Manatunga, A Shemyakin, C Genest, C Genest, C Genest, D Duue, D Duue, D Duue, D F Schrager, D G Clayton, D Lando, D Lando, D M Dabrowska, D Oakes, D Oakes, E Biis, E Luciano, E W Frees, Elena Vigna, Elisa Luciano, H Youn, H Youn, J E Anderson, J F Carriere, J Spreeuw, Jaap Spreeuw, M A Milevsky, M Dahl, M Denuit, M Denuit, P Artzner, P Br Emaud, P Hougaard, R B Nelsen, U Cherubini, W Wang   +36 more
core   +1 more source

Estimation of Copula Density Using the Wavelet Transform

مجلة بغداد للعلوم
This paper proposes a new method to estimate the copula density function using wavelet decomposition as a nonparametric method, to obtain more accurate results and address the issue of boundary effects that nonparametric estimation methods suffer from ...
Fatimah Hashim Falhi, Munaf Yousif Hmood   +1 more
doaj   +1 more source

A method of moments to estimate bivariate survival functions: the copula approach

Statistica, 2013
In this paper we discuss the problem on parametric and non parametric estimation of the distributions generated by the Marshall-Olkin copula. This copula comes from the Marshall-Olkin bivariate exponential distribution used in reliability analysis.
Silvia Angela Osmetti, Paola Maddalena Chiodini   +1 more
doaj   +1 more source

Refining value-at-risk estimates using a Bayesian Markov-switching GJR-GARCH copula-EVT model. [PDF]

PLoS ONE, 2018
In this paper, we propose a model for forecasting Value-at-Risk (VaR) using a Bayesian Markov-switching GJR-GARCH(1,1) model with skewed Student's-t innovation, copula functions and extreme value theory.
Marius Galabe Sampid, Haslifah M Hasim, Hongsheng Dai   +2 more
doaj   +1 more source

Modeling of multi-variable correlation degradation process based on copula function and improved particle swarm optimization algorithm [PDF]

AIP Advances
With the increasing complexity of modern equipment systems, ignoring the correlation between multi-component and multi-performance degradation processes can lead to significant deviations in reliability assessment.
Xinjian Gao, Enzhi Dong, Zhonghua Cheng, Tielu Gao, Liang Wen, Zhiyuan Yang   +5 more
doaj   +1 more source

Improving forecasting performance using covariate-dependent copula models

, 2018
Copulas provide an attractive approach for constructing multivariate distributions with flexible marginal distributions and different forms of dependences.
Kang, Yanfei, Li, Feng
core   +1 more source

Minimax Lower Bounds for Uniform Estimation of Covariate-Dependent Copula Parameters

Mathematics
Local likelihood methods are widely used to estimate calibration functions in conditional copula models. Recent work has established uniform stochastic equicontinuity and uniform convergence rates for local likelihood estimators of covariate-dependent ...
Mathias Nthiani Muia, Olivia Atutey, Chathurika Srimali Abeykoon   +2 more
doaj   +1 more source

Snow-melt flood frequency analysis by means of copula based 2D probability distributions for the Narew River in Poland

Journal of Hydrology: Regional Studies, 2016
Study region: Narew River in Northeastern Poland. Study focus: Three methods for frequency analysis of snowmelt floods were compared. Two dimensional (2D) normal distribution and copula-based 2D probability distributions were applied to statistically ...
Bogdan Ozga-Zielinski, Maurycy Ciupak, Jan Adamowski, Bahaa Khalil, Julien Malard   +4 more
doaj   +1 more source

Modeling and Simulating Rainfall and Temperature Using Rotated Bivariate Copulas

Hydrology, 2023
Climate change is a significant environmental challenge that affects water resources, agriculture, health, and other aspects of human life. Bivariate modeling is a statistical method used to analyze the relationship between variables such as rainfall and
Giovanni De Luca, Giorgia Rivieccio
doaj   +1 more source