Results 21 to 30 of about 66,819 (259)
On weak conditional convergence of bivariate Archimedean and Extreme Value copulas, and consequences to nonparametric estimation [PDF]
, 2020 Looking at bivariate copulas from the perspective of conditional distributions and considering weak convergence of almost all conditional distributions yields the notion of weak conditional convergence.
Thimo M. Kasper, S. Fuchs, W. Trutschnig
semanticscholar +1 more source
Statistics, Optimization & Information Computing, 2021 A new two-parameter lifetime distribution is proposed and numerically studied. The new model has a flflexible failure rate shapes such as “monotonically increasing” , “monotonically decreasing” , “bathtub” , “constant” , “upside down” and “J-shape ...
Wahid A. M. Shehata, H. Yousof
semanticscholar +1 more source
Polynomial bivariate copulas of degree five: characterization and some particular inequalities
Dependence Modeling, 2021 Bivariate polynomial copulas of degree 5 (containing the family of Eyraud-Farlie-Gumbel-Morgenstern copulas) are in a one-to-one correspondence to certain real parameter triplets (a, b, c), i.e., to some set of polynomials in two variables of degree 1: p(
Šeliga Adam +5 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
New asymmetric perturbations of FGM bivariate copulas and concordance preserving problems
Moroccan Journal of Pure and Applied Analysis, 2023 New copulas, based on perturbation theory, are introduced to clarify a symmetrization procedure for asymmetric copulas. We give also some properties of the symmetrized copula mainly conservation of concordance.
El maazouz Mohamed, Sani Ahmed
doaj +1 more source
Electronic Journal of Statistics, 2014 We propose notions of calibration for probabilistic forecasts of general multivariate quantities. Probabilistic copula calibration is a natural analogue of probabilistic calibration in the univariate setting. It can be assessed empirically by checking for the uniformity of the copula probability integral transform (CopPIT), which is invariant under ...
Johanna F. Ziegel, Tilmann Gneiting
openaire +4 more sources
A Note on Upper Tail Behavior of Liouville Copulas
Risks, 2016 The family of Liouville copulas is defined as the survival copulas of multivariate Liouville distributions, and it covers the Archimedean copulas constructed by Williamson’s d-transform.
Lei Hua
doaj +1 more source
Baire category results for quasi–copulas
Dependence Modeling, 2016 The aim of this manuscript is to determine the relative size of several functions (copulas, quasi– copulas) that are commonly used in stochastic modeling.
Durante Fabrizio +2 more
doaj +1 more source
Forecasted Scenarios of Regional Wind Farms Based on Regular Vine Copulas
Journal of Modern Power Systems and Clean Energy, 2020 Owing to the uncertainty and volatility of wind energy, forecasted wind power scenarios with proper spatio-temporal correlations are needed in various decision-making problems involving power systems.
Zhao Wang +3 more
semanticscholar +1 more source
General Multivariate Dependence using Associated Copulas
Revstat Statistical Journal, 2016 This paper studies the general multivariate dependence and tail dependence of a random vector. We analyse the dependence of variables going up or down, covering the 2 d orthants of dimension d and accounting for non-positive dependence.
Yuri Salazar Flores
doaj +1 more source