Results 31 to 40 of about 66,819 (259)

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
doaj   +1 more source

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, Zainalabideen Samad, Samer Al-Shibley   +2 more
doaj   +1 more source

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, S. Vandenberghe, B. De Baets, N. E. C. Verhoest   +3 more
doaj   +1 more source

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
doaj   +1 more source

Improved probabilistic load flow method based on D‐vine copulas and Latin hypercube sampling in distribution network with multiple wind generators

, 2020
In this study, a D-vine copulas modelling based probabilistic load flow (PLF) computation method is proposed, which considers the dependence among multiple wind generators. Furthermore, this method is not restricted by the type of wind speed distribution,
Yueshan Huang, Shuheng Chen, Zhe Chen, Weihao Hu, Qi Huang   +4 more
semanticscholar   +1 more source

Intermediate Tail Dependence: A Review and Some New Results [PDF]

, 2012
The concept of intermediate tail dependence is useful if one wants to quantify the degree of positive dependence in the tails when there is no strong evidence of presence of the usual tail dependence. We first review existing studies on intermediate tail
A. Charpentier, A. J. McNeil, A. J. McNeil, A. Ramos, A. Sklar, A. W. Ledford, A. W. Ledford, A. W. Marshall, A. W. Marshall, C. Genest, D. Song, E. Hashorva, E. Hashorva, E. Hashorva, E. Jakeman, H. Joe, H. Joe, H. Joe, H. Joe, J. A. Tawn, J. E. Heffernan, K. T. Fang, L. Haan de, L. Haan de, L. Hua, L. Hua, M. Abramowitz, M. Larsson, M. Shaked, N. H. Bingham, P. Embrechts, R. E. Williamson, R. Schmidt, S. Coles, S. I. Resnick, S. I. Resnick   +35 more
core   +1 more source

Spillover Risks on Cryptocurrency Markets: A Look from VAR-SVAR Granger Causality and Student’s-t Copulas

Journal of Risk and Financial Management, 2019
This paper contributes a shred of quantitative evidence to the embryonic literature as well as existing empirical evidence regarding spillover risks among cryptocurrency markets.
Toan Luu Duc Huynh
semanticscholar   +1 more source

A Functional for Copulas and Quasi-Copulas [PDF]

ISRN Probability and Statistics, 2012
We recall and study some properties of a known functional operating on the set of n-copulas and determine conditions under such functional is well defined on the set of n-quasi-copulas. As a consequence, new families of copulas and quasi-copulas are defined, illustrating our results with several examples.
openaire   +2 more sources

Types of dependence and time-dependent association between two lifetimes in single parameter copula models [PDF]

, 2006
Most publications on modeling insurance contracts on two lives, assuming dependence of the two lifetimes involved, focus on the time of inception of the contract.
Spreeuw, J.
core   +1 more source

Bounds on Integrals with Respect to Multivariate Copulas

, 2016
Finding upper and lower bounds to integrals with respect to copulas is a quite prominent problem in applied probability. In their 2014 paper, Hofer and Iaco showed how particular two dimensional copulas are related to optimal solutions of the two ...
Preischl, Michael
core   +2 more sources