Results 101 to 110 of about 66,819 (259)

MODELLING RANDOM COUPLES USING COPULAS MODELADO DE PAREJAS ALEATORIAS USANDO CÓPULAS

Revista Colombiana de Estadística, 2009
Copulas have become a useful tool for the multivariate modelling in both stochastics and statistics. In this article, fundamental properties that allow the characterization of the dependence structure of families of the bivariate distributions defined by
Escarela Gabriel, Hernández Angélica
doaj  

Copula–Induced Measures of Concordance

Dependence Modeling, 2016
We study measures of concordance for multivariate copulas and copulas that induce measures of concordance.
Fuchs Sebastian
doaj   +1 more source

Alleviating small sample problem in continuous forest monitoring with remote sensing-assisted Copulas

Ecological Indicators
With model-assisted (MA) estimation, remote sensing (RS) has provided auxiliary modeling data to enhance precision in estimators of forest parameters for continuous forest monitoring as mandated by various official reporting instruments.
Xinjie Cheng, Zhengyang Hou, Annika Kangas, Jean-Pierre Renaud, Hao Tang, Weisheng Zeng, Qing Xu   +6 more
doaj   +1 more source

Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence

Dependence Modeling, 2013
Nelsen et al. [20] find bounds for bivariate distribution functions when there are constraints on the values of its quartiles. Tankov [25] generalizes this work by giving explicit expressions for the best upper and lower bounds for a bivariate copula ...
Bernard Carole, Liu Yuntao, MacGillivray Niall, Zhang Jinyuan   +3 more
doaj   +1 more source

\(H\)-extendible copulas

Journal of Multivariate Analysis, 2012
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mai, Jan-Frederik, Scherer, Matthias
openaire   +1 more source

Modelado de parejas aleatorias usando cópulas Modelling Random Couples Using Copulas

Revista Colombiana de Estadística, 2009
Las cópulas se han convertido en una herramienta útil para el modelado multivariado tanto estocástico como estadístico. En este artículo se revisan propiedades fundamentales de las cópulas que permitan caracterizar la estructura de dependencia de ...
GABRIEL ESCARELA, ANGÉLICA HERNÁNDEZ
doaj  

Clustered Archimax copulas

Electronic Journal of Statistics
When modeling multivariate phenomena, properly capturing the joint extremal behavior is often one of the many concerns. Archimax copulas appear as successful candidates in case of asymptotic dependence. In this paper, the class of Archimax copulas is extended via their stochastic representation to a clustered construction.
Chatelain, Simon, Perreault, Samuel, Fougères, Anne-Laure, Nešlehová, Johanna G.   +3 more
openaire   +3 more sources

Improved Frechet bounds and model-free pricing of multi-asset options

, 2011
Improved bounds on the copula of a bivariate random vector are computed when partial information is available, such as the values of the copula on a given subset of $[0,1]^2$, or the value of a functional of the copula, monotone with respect to the ...
Tankov, Peter
core  

Pengukuran Value at Risk pada Portofolio Saham Optimal Menggunakan Copula-GARCH dengan Pendekatan Single Index Model

, 2023
Siti Salfa Salsabila Firdaus, Ulil Azmi, Galuh Oktavia Siswono   +2 more
openalex   +2 more sources

Modelado de parejas aleatorias usando cópulas

Revista Colombiana de Estadística, 2009
Las cópulas se han convertido en una herramienta útil para el modelado multivariado tanto estocástico como estadístico. En este artículo se revisan propiedades fundamentales de las cópulas que permitan caracterizar la estructura de dependencia de ...
GABRIEL ESCARELA, ANGÉLICA HERNÁNDEZ
doaj