Results 31 to 40 of about 12,179 (202)
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
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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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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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Quasi-copulas as linear combinations of copulas
Fuzzy Sets and SystemsWe prove that every quasi-copula can be written as a uniformly converging infinite sum of multiples of copulas. Furthermore, we characterize those quasi-copulas which can be written as a finite sum of multiples of copulas, i.e., that are a linear combination of two copulas.
Gregor Dolinar, Bojan Kuzma, Nik Stopar
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Water Science and Engineering, 2013 The question of how to choose a copula model that best fits a given dataset is a predominant limitation of the copula approach, and the present study aims to investigate the techniques of goodness-of-fit tests for multi-dimensional copulas. A goodness-of-
Ming-wei Ma +4 more
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, 2010 11 pages, 1 table, 1 figure. Submitted for publication.
Andrew Gordon Wilson, Zoubin Ghahramani
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Comportement extrémal des copules diagonales et de Bertino
Comptes Rendus. Mathématique, 2021 The maximal attractors of bivariate diagonal and Bertino copulas are determined under suitable regularity conditions. Some consequences of these facts are drawn, namely bounds on the maximal attractor of a symmetric copula with a given diagonal section ...
Genest, Christian, Sabbagh, Magid
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Theoretical Validation of New Two-Dimensional One-Variable-Power Copulas
Axioms, 2023 One of the most effective ways to illustrate the relationship between two quantitative variables is to describe the corresponding two-dimensional copula.
Christophe Chesneau
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Kybernetika, 2005 Summary: Transformations of copulas by means of increasing bijections on the unit interval and attractors of copulas are discussed. The invariance of copulas under such transformations as well as the relationship to maximum attractors and Archimax copulas is investigated.
Klement, E.P. +2 more
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New results on perturbation-based copulas
Dependence Modeling, 2021 A prominent example of a perturbation of the bivariate product copula (which characterizes stochastic independence) is the parametric family of Eyraud-Farlie-Gumbel-Morgenstern copulas which allows small dependencies to be modeled.
Saminger-Platz Susanne +4 more
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