, 2010 We show an analytic method to construct a bivariate distribution function (DF) with given marginal distributions and correlation coefficient. We introduce a convenient mathematical tool, called a copula, to connect two DFs with any prescribed dependence ...
Ball +60 more
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A copula-based approach to aggregation functions [PDF]
This paper presents the role of copula functions in the theory of aggregation operators and an axiomatic characterization of Archimedean aggregation functions.
Maddalena Manzi, Marta Cardin
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Statistical actuarial estimation of the Capitation Payment Unit from copula functions and deep learning: historical comparability analysis for the Colombian health system, 2015-2021. [PDF]
Health Econ Rev, 2023 Espinosa O +3 more
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Self-Selection and Subjective Well-Being: Copula Models with an Application to Public and Private Sector Work [PDF]
We discuss a new approach to specifying and estimating ordered probit models with endogenous switching, or with binary endogenous regressor, based on copula functions. These models provide a framework of analysis for self-selection in economic well-being
Alois Stutzer +2 more
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Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
, 2012 Weak convergence of the empirical copula process is shown to hold under the assumption that the first-order partial derivatives of the copula exist and are continuous on certain subsets of the unit hypercube.
Segers, Johan
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A Multivariate Integer Count Hurdle Model: Theory and Application to Exchange Rate Dynamics [PDF]
In this paper we propose a model for the conditional multivariate density of integer count variables defined on the set Zn. Applying the concept of copula functions, we allow for a general form of dependence between the marginal processes which is able ...
Ingmar Nolte +2 more
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Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications [PDF]
This paper documents nonlinear cross-sectional dependence in the term structure of U.S. Treasury yields and points out risk management implications. The analysis is based on a Kalman filter estimation of a two-factor affine model which specifies the ...
Alexander Szimayer +2 more
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Selection of the Best Copula Function in Bivariate Analysis of Water Resources Components (Case study: Siminehrood River Basin, Iran) [PDF]
Water Harvesting ResearchThe copula function is a joint distribution of correlated random variables that are defined based on univariate marginal distributions. The aim of the present study is to select the best copula function to create joint probability distributions between ...
Fahimeh Sharifan +3 more
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Multivariate Option Pricing with Copulas. [PDF]
In this paper we suggest the adoption of copula functions in order to price multivariate contingent claims. Copulas enable us to imbed the marginal distributions extracted from vertical spreads in the options markets in a multivariate pricing kernel.
Elisa Luciano, Umberto Cherubini
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Spatial Copula Model for Imputing Traffic Flow Data from Remote Microwave Sensors
Sensors, 2017 Issues of missing data have become increasingly serious with the rapid increase in usage of traffic sensors. Analyses of the Beijing ring expressway have showed that up to 50% of microwave sensors pose missing values.
Xiaolei Ma, Sen Luan, Bowen Du, Bin Yu
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