Results 41 to 50 of about 12,179 (202)
Enjoy the Joy of Copulas: With a Package copula
Journal of Statistical Software, 2007 Copulas have become a popular tool in multivariate modeling successfully applied in many fields. A good open-source implementation of copulas is much needed for more practitioners to enjoy the joy of copulas.
Jun Yan
doaj
Generative Archimedean Copulas
CoRR, 2021 We propose a new generative modeling technique for learning multidimensional cumulative distribution functions (CDFs) in the form of copulas. Specifically, we consider certain classes of copulas known as Archimedean and hierarchical Archimedean copulas, popular for their parsimonious representation and ability to model different tail dependencies.
Yuting Ng +3 more
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New copulas based on general partitions-of-unity and their applications to risk management (part II)
Dependence Modeling, 2017 We present a constructive and self-contained approach to data driven infinite partition-of-unity copulas that were recently introduced in the literature.
Pfeifer Dietmar +2 more
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Adaptive Bernstein Copulas and Risk Management
Mathematics, 2020 We present a constructive approach to Bernstein copulas with an admissible discrete skeleton in arbitrary dimensions when the underlying marginal grid sizes are smaller than the number of observations.
Dietmar Pfeifer, Olena Ragulina
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A Collection of New Trigonometric- and Hyperbolic-FGM-Type Copulas
AppliedMath, 2023 Copula analysis was created to explain the dependence of two or more quantitative variables. Due to the need for in-depth data analysis involving complex variable relationships, there is always a need for new copula models with original features.
Christophe Chesneau
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Copulas and deep learning: a review
Dependence ModelingIn the last two decades, there has been a surge in the research on neural networks, and particularly on deep learning. At the same time, copulas as a statistical modeling tool for multivariate distributions became more and more popular.
Coblenz Maximilian +3 more
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MathematicsThis paper presents new classes of strong fuzzy negations, fuzzy implications and Copulas. It begins by presenting two theorems with function classes involving the construction of strong fuzzy negations.
Panagiotis Georgiou Mangenakis +1 more
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New copulas based on general partitions-of-unity and their applications to risk management
Dependence Modeling, 2016 We construct new multivariate copulas on the basis of a generalized infinite partition-of-unity approach. This approach allows, in contrast to finite partition-of-unity copulas, for tail-dependence as well as for asymmetry.
Pfeifer Dietmar +3 more
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Journal of Multivariate Analysis, 2018 Revised version: correction of Assumption 3 and some minor induced ...
Fermanian, Jean-David, Lopez, Olivier
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On comprehensive families of copulas involving the three basic copulas and transformations thereof
Dependence ModelingComprehensive families of copulas including the three basic copulas (at least as limit cases) are useful tools to model countermonotonicity, independence, and comonotonicity of pairs of random variables on the same probability space. In this contribution,
Saminger-Platz Susanne +4 more
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