Results 41 to 50 of about 34,600 (197)
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.
openaire +3 more sources
Some New Bivariate Properties and Characterizations Under Archimedean Copula
MathematicsThis paper considers comparing properties and characterizations of the bivariate functions under Archimedean copula. It is shown that some results of the usual stochastic order for the bivariate functions in the independent case are generalized to the ...
Qingyuan Guan, Peihua Jiang, Guangyu Liu
doaj +1 more source
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
core +2 more sources
Performance of Archimedean copula functions in annual flood estimation, Case study: Qarah-Soo Watershed [PDF]
مخاطرات محیط طبیعی, 2017 Flood is known as one of the most devastating natural hazards which cause great damages to human societies, municipal, industrial and agricultural centers. Flood estimation in confluence points of rivers– for being the location for many infrastructures –
Sanaz Zeraati, Mohammad Zounemat-Kermani
doaj +1 more source
Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data [PDF]
, 2015 Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new empirical methodology that combines generalized autoregressive score copula functions with high frequency data and allows us to ...
Avdulaj, Krenar, Barunik, Jozef
core +1 more source
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
doaj +1 more source
On three-parameter Grubbs copula-function
Izvestiya Vysshikh Uchebnykh Zavedenii. Matematika, 2019 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire +3 more sources
Copula Gaussian Graphical Models for Functional Data
Journal of the American Statistical Association, 2020 We introduce a statistical graphical model for multivariate functional data, which are common in medical applications such as EEG and fMRI. Recently published functional graphical models rely on the multivariate Gaussian process assumption, but we relax it by introducing the functional copula Gaussian graphical model (FCGGM).
Solea, Eftychia, Li, Bing
openaire +1 more source
Aggregation Functions: A Multivariate Approach Using Copulae [PDF]
SSRN Electronic Journal, 2008 In this paper we present the extension of the copula approach to aggregation functions. In fact we want to focus on a class of aggregation functions and present them in the multi linear form with marginal copulae. Moreover we will define also the joint aggregation density function.
CARDIN, Marta, MANZI M.
openaire +3 more sources
Types of dependence and time-dependent association between two lifetimes in single parameter copula models [PDF]
, 2006 Most publications on modeling insurance contracts on two lives, assuming dependence of the two lifetimes involved, focus on the time of inception of the contract.
Spreeuw, J.
core +1 more source