Results 21 to 30 of about 9,365 (302)
International Journal of Stochastic Analysis, 2013 The class of probability distributions possessing the almost-lack-of-memory property appeared about 20 years ago. It reasonably took place in research and modeling, due to its suitability to represent uncertainty in periodic random environment. Multivariate version of the almost-lack-of-memory property is less known, but it is not less interesting.
Boyan Dimitrov, Nikolai Kolev
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Threshold copulas and positive dependence [PDF]
, 2008 Starting with a notion of positive dependence View the MathML source and with the family of the lower threshold copulas Ct associated with a bivariate distribution having copula C, we define different notions of positive dependence for C, reflecting the ...
Fabio Spizzichino +5 more
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A continuous rainfall model based on vine copulas [PDF]
Hydrology and Earth System Sciences, 2015 Copulas have already proven their flexibility in rainfall modelling. Yet, their use is generally restricted to the description of bivariate dependence.
H. Vernieuwe +3 more
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Characterizations of bivariate conic, extreme value, and Archimax copulas
Dependence Modeling, 2017 Based on a general construction method by means of bivariate ultramodular copulas we construct, for particular settings, special bivariate conic, extreme value, and Archimax copulas. We also show that the sets of copulas obtained in this way are dense in
Saminger-Platz Susanne +3 more
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Goodness-of-Fit Tests For Elliptical and Independent Copulas through Projection Pursuit
Algorithms, 2011 Two goodness-of-fit tests for copulas are being investigated. The first one deals with the case of elliptical copulas and the second one deals with independent copulas.
Jacques Touboul
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Copulas in Classical Probability Sense
مجلة بغداد للعلوم, 2020 Copulas are simply equivalent structures to joint distribution functions. Then, we propose modified structures that depend on classical probability space and concepts with respect to copulas.
Ahmed AL-Adilee +2 more
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Theoretical Study of Some Angle Parameter Trigonometric Copulas
Modelling, 2022 Copulas are important probabilistic tools to model and interpret the correlations of measures involved in real or experimental phenomena. The versatility of these phenomena implies the need for diverse copulas.
Christophe Chesneau
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Extensions of Two Bivariate Strict Archimedean Copulas
Computational Journal of Mathematical and Statistical Sciences, 2023 The copula approach provides an option for capturing the structure of dependence between two quantitative variables. This approach is based on special bivariate functions called copulas.
Christophe Chesneau
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A Limit Theorem for Copulas [PDF]
, 2005 We characterize convergence of a sequence of d-dimensional random vectors by convergence of the one-dimensional margins and of the copula. The result is applied to the approximation of portfolios modelled by t-copulas with large degrees of freedom, and ...
Lindner, Alexander M. +1 more
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SSRN Electronic Journal, 2012 We introduce the notion of realized copula. Based on assumptions of the marginal distributions of daily stock returns and a copula family, realized copula is defined as the copula structure materialized in realized covariance estimated from within-day high-frequency data.
Matthias R. Fengler, Ostap Okhrin
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