Results 1 to 10 of about 9,365 (302)
Communications in Statistics - Theory and Methods, 2008 We present a new way of constructing n-copulas, by scaling and gluing finitely many n-copulas. Gluing for bivariate copulas produces a copula that coincides with the independence copula on some grid of horizontal and vertical sections. Examples illustrate how gluing can be applied to build complicated copulas from simple ones.
Karl Friedrich Siburg
exaly +8 more sources
Quasi-Copulas, Copulas and Fuzzy Implicators
International Journal of Computational Intelligence Systems, 2020 In this paper, we study relations between fuzzy implicators and some kinds of fuzzy conjunctors, in particular, quasi-copulas and copulas. We show that there is a one-to-one correspondence between the classes of all quasi-copulas and 1-Lipschitz fuzzy ...
Radko Mesiar, Anna Kolesárová
doaj +2 more sources
Matrix-Tilted Archimedean Copulas [PDF]
Risks, 2021 The new class of matrix-tilted Archimedean copulas is introduced. It combines properties of Archimedean and elliptical copulas by introducing a tilting matrix in the stochastic representation of Archimedean copulas, similar to the Cholesky factor for ...
Marius Hofert, Johanna F. Ziegel
doaj +3 more sources
Statistica, 2018 Copulas are used to specify dependence between two or more random variables. The last few years have seen a surge of developments of parametric models for copulas.
Saralees Nadarajah +2 more
doaj +3 more sources
Characterization of pre-idempotent Copulas
Dependence Modeling, 2023 Copulas CC for which (CtC)2=CtC{({C}^{t}C)}^{2}={C}^{t}C are called pre-idempotent copulas, of which well-studied examples are idempotent copulas and complete dependence copulas.
Chamnan Wongtawan, Sumetkijakan Songkiat
doaj +1 more source
Novel Construction of Copulas Based on (α,β) Transformation for Fuzzy Random Variables
Journal of Mathematics, 2021 The paper introduces a method for the construction of bivariate copulas with the usage of specific values of the parameters α and β (α,β transformation) and the parameters κ and λ in their domain.
Stylianos Giakoumakis +1 more
doaj +1 more source
Is a Normal Copula the Right Copula? [PDF]
Journal of Business & Economic Statistics, 2018 We derive computationally simple and intuitive expressions for score tests of Gaussian copulas against Generalized Hyperbolic alternatives, including symmetric and asymmetric Student t, and many other examples. We decompose our tests into third and fourth moment components, and obtain one-sided Likelihood Ratio analogues, whose standard asymptotic ...
Amengual, Dante, Sentana, Enrique
openaire +2 more sources
Journal of Multivariate Analysis, 2013 23 pages, 3 ...
Marius Hofert, Frédéric Vrins
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New Families of Bivariate Copulas via Unit Lomax Distortion
Risks, 2020 This article studies a new family of bivariate copulas constructed using the unit-Lomax distortion derived from a transformation of the non-negative Lomax random variable into a variable whose support is the unit interval.
Fadal Abdullah-A Aldhufairi +2 more
doaj +1 more source
Multivariate copulas, quasi-copulas and lattices [PDF]
Statistics & Probability Letters, 2011 We investigate some properties of the partially ordered sets of multivariate copulas and quasi-copulas. Whereas the set of bivariate quasi-copulas is a complete lattice, which is order-isomorphic to the Dedekind-MacNeille completion of the set of bivariate copulas, we show that this is not the case in higher dimensions.
Fernández-Sánchez, Juan +2 more
openaire +3 more sources